QuantLib: FFTVarianceGammaEngine Class Reference

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

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FFTVarianceGammaEngine Class Reference
Pricing engines » Vanilla option engines

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

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

Inheritance diagram for FFTVarianceGammaEngine:
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## Public Member Functions
| FFTVarianceGammaEngine (const boost::shared_ptr< VarianceGammaProcess > &process, Real logStrikeSpacing=0.001)
virtual std::auto_ptr< FFTEngine > | clone () const
Public Member Functions inherited from FFTEngine
| FFTEngine (const boost::shared_ptr< StochasticProcess1D > &process, Real logStrikeSpacing)
void | calculate () const
void | update ()
void | precalculate (const std::vector< boost::shared_ptr< Instrument > > &optionList)

## 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
Protected Member Functions inherited from FFTEngine
void | calculateUncached (boost::shared_ptr< StrikedTypePayoff > payoff, boost::shared_ptr< Exercise > exercise) const

## Additional Inherited Members
Protected Attributes inherited from FFTEngine
boost::shared_ptr< StochasticProcess1D > | process_
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