QuantLib: ql/experimental/variancegamma Directory Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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variancegamma Directory Reference

## Files
file | analyticvariancegammaengine.hpp
| Analytic Variance Gamma option engine for vanilla options.
file | fftengine.hpp
| base class for FFT option pricing engines
file | fftvanillaengine.hpp
| FFT engine for vanilla options under a Black Scholes process.
file | fftvariancegammaengine.hpp
| FFT engine for vanilla options under a Variance Gamma process.
file | variancegammamodel.hpp
| Variance Gamma model.
file | variancegammaprocess.hpp
| Variance Gamma stochastic process.