Merton 76 (Jump Diffusion)

class xf::fintech::m76

#include "xf_fintech_m76.hpp"

Overview

This class implements the Merton 76 Jump Diffusion Model.

It is intended that the user will populate the asset data when calling the run() method.

class m76: public xf::fintech::OCLController

// structs

struct m76_input_data

Inherited Members

Methods

run

int run (
    struct m76_input_data* inputData,
    float* outputData,
    int numOptions
    )

Calculate one or more options based on input data and option type

Parameters:

inputData	structure to be populated with the asset data
outputData	one or more calculated option values returned
numOptions	number of options to be calculated