- 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.