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"ql/pricingengines/vanilla/jumpdiffusionengine"
JumpDiffusionEngine
Class JumpDiffusionEngine
Jump-diffusion engine for vanilla options
test
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.
Hierarchy
engine
JumpDiffusionEngine
Implements
Observable
Observer
PricingEngine
Index
Constructors
constructor
Properties
_arguments
_is
Disposed
_max
Iterations
_observables
_observers
_process
_relative
Accuracy
_results
deep
Update
dispose
is
Disposed
notify
Observers
register
Observer
register
With
register
With
Observables
unregister
Observer
unregister
With
unregister
With
All
Methods
calculate
get
Arguments
get
Results
reset
update
Constructors
constructor
new
Jump
Diffusion
Engine
(
process
:
Merton76Process
, relativeAccuracy
?:
Real
, maxIterations
?:
Size
)
:
JumpDiffusionEngine
Parameters
process:
Merton76Process
Default value
relativeAccuracy:
Real
= 0.0001
Default value
maxIterations:
Size
= 100
Returns
JumpDiffusionEngine
Properties
_arguments
_arguments
:
Arguments
_is
Disposed
_is
Disposed
:
boolean
= false
Private
_max
Iterations
_max
Iterations
:
Size
_observables
_observables
:
Set
<
Observable
>
= new Set()
_observers
_observers
:
Set
<
Observer
>
= new Set()
Private
_process
_process
:
Merton76Process
Private
_relative
Accuracy
_relative
Accuracy
:
Real
_results
_results
:
Results
deep
Update
deep
Update
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
dispose
dispose
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
is
Disposed
is
Disposed
:
boolean
notify
Observers
notify
Observers
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
register
Observer
register
Observer
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
register
With
register
With
:
(
h
:
Observable
)
=>
void
Type declaration
(
h
:
Observable
)
:
void
Parameters
h:
Observable
Returns
void
register
With
Observables
register
With
Observables
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
unregister
Observer
unregister
Observer
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
unregister
With
unregister
With
:
(
h
:
Observable
)
=>
Size
Type declaration
(
h
:
Observable
)
:
Size
Parameters
h:
Observable
Returns
Size
unregister
With
All
unregister
With
All
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
Methods
calculate
calculate
(
)
:
void
Returns
void
get
Arguments
get
Arguments
(
)
:
Arguments
Returns
Arguments
get
Results
get
Results
(
)
:
Results
Returns
Results
reset
reset
(
)
:
void
Returns
void
update
update
(
)
:
void
Returns
void
Globals
"ql/pricingengines/vanilla/jumpdiffusionengine"
Jump
Diffusion
Engine
constructor
_arguments
_is
Disposed
_max
Iterations
_observables
_observers
_process
_relative
Accuracy
_results
deep
Update
dispose
is
Disposed
notify
Observers
register
Observer
register
With
register
With
Observables
unregister
Observer
unregister
With
unregister
With
All
calculate
get
Arguments
get
Results
reset
update
Jump-diffusion engine for vanilla options
test