FFT Pricing engine vanilla options under a Black Scholes process. More...
#include <ql/experimental/variancegamma/fftvanillaengine.hpp>
 Inheritance diagram for FFTVanillaEngine:
 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 | 
|  Public Member Functions inherited from FFTEngine | |
| FFTEngine (const boost::shared_ptr< StochasticProcess1D > &process, Real logStrikeSpacing) | |
| void | calculate () const | 
| void | update () | 
| void | precalculate (const std::vector< boost::shared_ptr< Instrument > > &optionList) | 
| 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 | 
|  Protected Member Functions inherited from FFTEngine | |
| void | calculateUncached (boost::shared_ptr< StrikedTypePayoff > payoff, boost::shared_ptr< Exercise > exercise) const | 
| Additional Inherited Members | |
|  Protected Attributes inherited from FFTEngine | |
| boost::shared_ptr< StochasticProcess1D > | process_ | 
| Real | lambda_ | 
FFT Pricing engine vanilla options under a Black Scholes process.