M76Engine - 2024.1 English

Vitis Libraries

Release Date
2024-05-30
Version
2024.1 English
#include "xf_fintech/m76_engine.hpp"
template <typename DT>
void M76Engine (
    struct jump_diffusion_params <DT>* p,
    DT* call_price
    )

Engine for the Merton Jump Diffusion Model.

Parameters:

p A structure containing the jump diffusion parameters
call_price An array of BS solutions multiplied by the jump weighting Note that these must be subsequently summed to get the Jump Diffusion solution