FFTVanillaEngine Class Reference

### A free/open-source library for quantitative finance

Public Member Functions | Protected Member Functions
FFTVanillaEngine Class Reference
Vanilla option engines

FFT Pricing engine vanilla options under a Black Scholes process. More...

`#include <ql/experimental/variancegamma/fftvanillaengine.hpp>`

Inheritance diagram for FFTVanillaEngine:
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List of all members.

## Public Member Functions
| FFTVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real logStrikeSpacing=0.001)
virtual std::auto_ptr< FFTEngine > | clone () const
## Protected Member Functions
virtual void | precalculateExpiry (Date d)
virtual std::complex< Real > | complexFourierTransform (std::complex< Real > u) const
virtual Real | discountFactor (Date d) const
virtual Real | dividendYield (Date d) const

## Detailed Description

FFT Pricing engine vanilla options under a Black Scholes process.

Tests:
  the correctness of the returned values is tested by comparison with Black Scholes pricing.