QuantLib_FFTVanillaEngine man page

FFTVanillaEngine — FFT Pricing engine vanilla options under a Black Scholes process.  

Synopsis

#include <ql/experimental/variancegamma/fftvanillaengine.hpp>

Inherits FFTEngine.

Public Member Functions

FFTVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real logStrikeSpacing=0.001)
virtual std::auto_ptr< FFTEngine > clone () const

Protected Member Functions

virtual void precalculateExpiry (Date d)
virtual std::complex< Real > complexFourierTransform (std::complex< Real > u) const
virtual Real discountFactor (Date d) const
virtual Real dividendYield (Date d) const

Additional Inherited Members

Detailed Description

FFT Pricing engine vanilla options under a Black Scholes process.

Tests

the correctness of the returned values is tested by comparison with Black Scholes pricing.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FFTVanillaEngine(3) is an alias of QuantLib_FFTVanillaEngine(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib