FFTVanillaEngine Class Reference
FFT Pricing engine vanilla options under a Black Scholes process. More...
#include <ql/experimental/variancegamma/fftvanillaengine.hpp>
Inheritance diagram for FFTVanillaEngine:

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 |
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.