Merton 76 (Jump Diffusion)

class xf::fintech::m76

#include "xf_fintech_m76.hpp"


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



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

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


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