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

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

Inheritance diagram for FFTVarianceGammaEngine:

List of all members.

Public Member Functions

 FFTVarianceGammaEngine (const boost::shared_ptr< VarianceGammaProcess > &process, Real logStrikeSpacing=0.001)
virtual std::auto_ptr< FFTEngineclone () const

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

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