QuantLib_FFTVarianceGammaEngine man page

FFTVarianceGammaEngine — FFT engine for vanilla options under a Variance Gamma process.

Synopsis

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

Inherits FFTEngine.

Public Member Functions

FFTVarianceGammaEngine (const boost::shared_ptr< VarianceGammaProcess > &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 engine for vanilla options under a Variance Gamma process.

Tests

the correctness of the returned values is tested by comparison with known good values and the analytic approach

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FFTVarianceGammaEngine(3) is an alias of QuantLib_FFTVarianceGammaEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib