FFTVanillaEngine

NAME

FFTVanillaEngine − FFT Pricing engine vanilla options under a Black Scholes process.

SYNOPSIS

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

Inherits FFTEngine.

Public Member Functions

FFTVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &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

Additional Inherited Members

Detailed Description

FFT Pricing engine vanilla options under a Black Scholes process.

Tests

the correctness of the returned values is tested by comparison with Black Scholes pricing.

Author

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