FFTVarianceGammaEngine − FFT engine for vanilla options under a Variance Gamma process.
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
Additional Inherited Members
FFT engine for vanilla options under a Variance Gamma process.
the correctness of the returned values is tested by comparison with known good values and the analytic approach
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