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 > &)

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

VarianceGammaEngine(3) is an alias of QuantLib_VarianceGammaEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib