Re: JumpDiffusionEngine

Posted by Lapin on
URL: http://quantlib.414.s1.nabble.com/JumpDiffusionEngine-tp1441p1442.html

Hi Markus,

The prototype of the constructor is as follow:

JumpDiffusionEngine(const boost::shared_ptr<VanillaOption::engine>&,
                            Real relativeAccuracy_ = 1e-4,
                            Size maxIterations = 100);

You need to pass at least a shared_ptr<VanillaOption::engine> in the arguments.

I guess the code should be as follow:

boost::shared_ptr<PricingEngine> vanillaEngine( new AnalyticEuropeanEngine));
boost::shared_ptr<PricingEngine> jumpEngine (new JumpDiffusionEngine( vanillaEngine ) ));

Regards

Markus Kopyciok wrote

Hi,

 

Does anybody know how to call the JumpDiffusionEngine constructor properly?

Because I am new to QuantLib I called the constructor as it is shown in the
example EquityOption:

 

// Black-Scholes for European

        method = "Black-Scholes";

        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(

                                                 new
AnalyticEuropeanEngine));

 

I modified the corresponding lines to:

 

// Jump-Diffusion

            method = "Jump-Diffusion";

 
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(

                                                 new JumpDiffusionEngine));

 

After compiling the code the following error-message is displayed:

 

error C2512: 'QuantLib::JumpDiffusionEngine': There is no appropriate
default-constructor available

 

How can I implement the JumpDiffusionEngine properly?

 

Thanks to all,

 

Markus

 

 


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