JumpDiffusionEngine Class Reference
[Vanilla option engines]

#include <ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp>

Inheritance diagram for JumpDiffusionEngine:

Inheritance graph
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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.


Public Member Functions

 JumpDiffusionEngine (const boost::shared_ptr< VanillaOption::engine > &, Real relativeAccuracy_=1e-4, Size maxIterations=100)
void calculate () const


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