- 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.