ql/experimental/variancegamma/fftvariancegammaengine.hpp File Reference

FFT engine for vanilla options under a Variance Gamma process. More...

#include <ql/experimental/variancegamma/fftengine.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
Include dependency graph for fftvariancegammaengine.hpp:

Classes

class  FFTVarianceGammaEngine
 FFT engine for vanilla options under a Variance Gamma process. More...

Detailed Description

FFT engine for vanilla options under a Variance Gamma process.