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 |
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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 |
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void | calculateUncached (boost::shared_ptr< StrikedTypePayoff > payoff, boost::shared_ptr< Exercise > exercise) const |
Additional Inherited Members | |
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boost::shared_ptr< StochasticProcess1D > | process_ |
Real | lambda_ |
FFT engine for vanilla options under a Variance Gamma process.