QuantLib_VarianceGammaProcess man page

VarianceGammaProcess — Variance gamma process.  

Synopsis

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

Inherits StochasticProcess1D.

Public Member Functions

VarianceGammaProcess (const Handle< Quote > &s0, const Handle< YieldTermStructure > &dividendYield, const Handle< YieldTermStructure > &riskFreeRate, Real sigma, Real nu, Real theta)
Real x0 () const
returns the initial value of the state variable
Real drift (Time t, Real x) const
returns the drift part of the equation, i.e. $ mu(t, x_t) $
Real diffusion (Time t, Real x) const
returns the diffusion part of the equation, i.e. $ sigma(t, x_t) $
Real sigma () const
Real nu () const
Real theta () const
const Handle< Quote > & s0 () const
const Handle< YieldTermStructure > & dividendYield () const
const Handle< YieldTermStructure > & riskFreeRate () const

Additional Inherited Members

Detailed Description

Variance gamma process.

This class describes the stochastic volatility process. With a Brownian motion given by [ db = heta dt + sigma dW_t ] then a Variance Gamma process X is defined by evaluating this Brownian motion at sample times driven by a Gamma process. If T is the value of a Gamma process with mean 1 and variance rate $ 0 $ then the Variance Gamma process is given by [ X(t) = B(T) ]

Author

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Referenced By

The man page VarianceGammaProcess(3) is an alias of QuantLib_VarianceGammaProcess(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib