- QuantLib
- VarianceGammaProcess
 
Variance gamma process. More...
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>

| Public Member Functions | |
| VarianceGammaProcess (const Handle< Quote > &s0, const Handle< YieldTermStructure > ÷ndYield, const Handle< YieldTermStructure > &riskFreeRate, Real sigma, Real nu, Real theta) | |
| Real | x0 () const | 
| returns the initial value of the state variable | |
| Real | drift (Time t, Real x) const | 
| returns the drift part of the equation, i.e.   | |
| Real | diffusion (Time t, Real x) const | 
| returns the diffusion part of the equation, i.e.   | |
| Real | sigma () const | 
| Real | nu () const | 
| Real | theta () const | 
| const Handle< Quote > & | s0 () const | 
| const Handle < YieldTermStructure > & | dividendYield () const | 
| const Handle < YieldTermStructure > & | riskFreeRate () const | 
Variance gamma process.
This class describes the stochastic volatility process. With a Brownian motion given by
![\[ db = \theta dt + \sigma dW_t \]](form_142.png) 
 then a Variance Gamma process X is defined by evaluating this Brownian motion at sample times driven by a Gamma process. If T is the value of a Gamma process with mean 1 and variance rate  then the Variance Gamma process is given by
 then the Variance Gamma process is given by 
![\[ X(t) = B(T) \]](form_143.png)