JumpDiffusionEngine Class Reference

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

#include <jumpdiffusionengine.hpp>

Inheritance diagram for JumpDiffusionEngine:

Collaboration diagram for JumpDiffusionEngine:

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

Private Attributes
ext::shared_ptr< Merton76Process >	process_
Real	relativeAccuracy_
Size	maxIterations_

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.

Definition at line 42 of file jumpdiffusionengine.hpp.

Constructor & Destructor Documentation

JumpDiffusionEngine()

JumpDiffusionEngine	(	ext::shared_ptr< Merton76Process >	process,
		Real	relativeAccuracy_ = 1e-4,
		Size	maxIterations = 100
	)

Definition at line 32 of file jumpdiffusionengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 41 of file jumpdiffusionengine.cpp.

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Member Data Documentation

process_

ext::shared_ptr<Merton76Process> process_

private

Definition at line 50 of file jumpdiffusionengine.hpp.

relativeAccuracy_

Real relativeAccuracy_

private

Definition at line 51 of file jumpdiffusionengine.hpp.

maxIterations_

Size maxIterations_

private

Definition at line 52 of file jumpdiffusionengine.hpp.