QuantLib_VarianceGammaEngine man page

VarianceGammaEngine — Variance Gamma Pricing engine for European vanilla options using integral approach.  

Synopsis

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

Inherits engine.

Public Member Functions

VarianceGammaEngine (const boost::shared_ptr< VarianceGammaProcess > &, Real absoluteError=1e-5)
void calculate () const

Detailed Description

Variance Gamma Pricing engine for European vanilla options using integral approach.

Tests

the correctness of the returned values is tested by checking it against known good results.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page VarianceGammaEngine(3) is an alias of QuantLib_VarianceGammaEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib