QuantLib: JumpDiffusionEngine Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

- Main Page
- Related Pages
- Modules
- Classes
- Examples

- Class List
- Class Index
- Class Hierarchy
- Class Members

Public Member Functions | List of all members
JumpDiffusionEngine Class Reference
Pricing engines » Vanilla option engines

Jump-diffusion engine for vanilla options. More...

`#include <ql/pricingengines/vanilla/jumpdiffusionengine.hpp>`

Inherits engine.

## Public Member Functions
| JumpDiffusionEngine (const boost::shared_ptr< Merton76Process > &, Real relativeAccuracy_=1e-4, Size maxIterations=100)
void | calculate () const

## Detailed Description

Jump-diffusion engine for vanilla options.

Tests:
  - the correctness of the returned value is tested by reproducing results available in literature.
  - the correctness of the returned greeks is tested by reproducing numerical derivatives.