QuantLib_VarianceGammaModel man page

VarianceGammaModel — Variance Gamma model.  

Synopsis

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

Inherits CalibratedModel.

Public Member Functions

VarianceGammaModel (const boost::shared_ptr< VarianceGammaProcess > &process)
Real sigma () const
Real nu () const
Real theta () const
boost::shared_ptr< VarianceGammaProcess > process () const

Protected Member Functions

void generateArguments ()

Protected Attributes

boost::shared_ptr< VarianceGammaProcess > process_

Additional Inherited Members

Detailed Description

Variance Gamma model.

References:

Dilip B. Madan, Peter Carr, Eric C. Chang (1998) 'The variance gamma process and option pricing,' European Finance Review, 2, 79-105

Warning

calibration is not implemented for VG

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

VarianceGammaModel(3) is an alias of QuantLib_VarianceGammaModel(3).

Fri Jun 2 2017 Version 1.10 QuantLib