#include <ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp>
Inheritance diagram for JumpDiffusionEngine:
[legend]List of all members.
Detailed Description
Jump-diffusion engine for vanilla options.
- Tests:
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the returned greeks is tested by reproducing numerical derivatives.
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Public Member Functions |
| JumpDiffusionEngine (const boost::shared_ptr< VanillaOption::engine > &, Real relativeAccuracy_=1e-4, Size maxIterations=100) |
void | calculate () const |
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