ql/experimental/variancegamma/fftvanillaengine.hpp File Reference

FFT engine for vanilla options under a Black Scholes process. More...

#include <ql/experimental/variancegamma/fftengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Include dependency graph for fftvanillaengine.hpp:

Classes

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

Detailed Description

FFT engine for vanilla options under a Black Scholes process.