org.jquantlib.pricingengines.vanilla

Class JumpDiffusionEngine

java.lang.Object

org.jquantlib.pricingengines.GenericEngine<OneAssetOption.Arguments,OneAssetOption.Results>

org.jquantlib.instruments.OneAssetOption.EngineImpl

org.jquantlib.instruments.VanillaOption.EngineImpl

org.jquantlib.pricingengines.vanilla.JumpDiffusionEngine

All Implemented Interfaces:

OneAssetOption.Engine, VanillaOption.Engine, PricingEngine, Observable, Observer

public class JumpDiffusionEngine
extends VanillaOption.EngineImpl

Jump-diffusion engine for vanilla options

Nested Class Summary

Nested classes/interfaces inherited from interface org.jquantlib.pricingengines.PricingEngine

PricingEngine.Arguments, PricingEngine.Results

Field Summary

Fields inherited from interface org.jquantlib.pricingengines.PricingEngine

PRICING_ENGINE_NOT_SET

Constructor Summary

Constructors

Constructor and Description
JumpDiffusionEngine(Merton76Process process)
JumpDiffusionEngine(Merton76Process process, double relativeAccuracy)
JumpDiffusionEngine(Merton76Process process, double relativeAccuracy, int maxIterations)

Method Summary

Modifier and Type	Method and Description
void	calculate()

Methods inherited from class org.jquantlib.pricingengines.GenericEngine

addObserver, countObservers, deleteObserver, deleteObservers, getArguments, getObservers, getResults, notifyObservers, notifyObservers, reset, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.pricingengines.PricingEngine

getArguments, getResults, reset, update

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Methods inherited from interface org.jquantlib.util.Observer

update

Constructor Detail

JumpDiffusionEngine

public JumpDiffusionEngine(Merton76Process process)

JumpDiffusionEngine

public JumpDiffusionEngine(Merton76Process process,
                           double relativeAccuracy)

JumpDiffusionEngine

public JumpDiffusionEngine(Merton76Process process,
                           double relativeAccuracy,
                           int maxIterations)

Method Detail

calculate

public void calculate()