QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | List of all members
FFTVarianceGammaEngine Class Reference

FFT engine for vanilla options under a Variance Gamma process. More...

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

+ Inheritance diagram for FFTVarianceGammaEngine:

Public Member Functions

 FFTVarianceGammaEngine (const ext::shared_ptr< VarianceGammaProcess > &process, Real logStrikeSpacing=0.001)
 
virtual std::auto_ptr< FFTEngineclone () const
 
- Public Member Functions inherited from FFTEngine
 FFTEngine (const ext::shared_ptr< StochasticProcess1D > &process, Real logStrikeSpacing)
 
void calculate () const
 
void update ()
 
void precalculate (const std::vector< ext::shared_ptr< Instrument > > &optionList)
 

Protected Member Functions

virtual void precalculateExpiry (Date d)
 
virtual std::complex< RealcomplexFourierTransform (std::complex< Real > u) const
 
virtual Real discountFactor (Date d) const
 
virtual Real dividendYield (Date d) const
 
- Protected Member Functions inherited from FFTEngine
void calculateUncached (const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise) const
 

Additional Inherited Members

- Protected Attributes inherited from FFTEngine
ext::shared_ptr< StochasticProcess1Dprocess_
 
Real lambda_
 

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