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 |