- QuantLib
- FFTVarianceGammaEngine
FFT engine for vanilla options under a Variance Gamma process. More...
#include <ql/experimental/variancegamma/fftvariancegammaengine.hpp>
Public Member Functions | |
FFTVarianceGammaEngine (const boost::shared_ptr< VarianceGammaProcess > &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 |
FFT engine for vanilla options under a Variance Gamma process.