Variance Gamma model. More...
#include <ql/experimental/variancegamma/variancegammamodel.hpp>
 Inheritance diagram for VarianceGammaModel:
 Inheritance diagram for VarianceGammaModel:| Public Member Functions | |
| VarianceGammaModel (const boost::shared_ptr< VarianceGammaProcess > &process) | |
| Real | sigma () const | 
| Real | nu () const | 
| Real | theta () const | 
| boost::shared_ptr< VarianceGammaProcess > | process () const | 
|  Public Member Functions inherited from CalibratedModel | |
| CalibratedModel (Size nArguments) | |
| void | update () | 
| virtual void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) | 
| Calibrate to a set of market instruments (usually caps/swaptions)  More... | |
| Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) | 
| const boost::shared_ptr< Constraint > & | constraint () const | 
| EndCriteria::Type | endCriteria () const | 
| Returns end criteria result. | |
| const Array & | problemValues () const | 
| Returns the problem values. | |
| Disposable< Array > | params () const | 
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) | 
| Integer | functionEvaluation () const | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
| Protected Member Functions | |
| void | generateArguments () | 
| Protected Attributes | |
| boost::shared_ptr< VarianceGammaProcess > | process_ | 
|  Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ | 
| boost::shared_ptr< Constraint > | constraint_ | 
| EndCriteria::Type | shortRateEndCriteria_ | 
| Array | problemValues_ | 
| Integer | functionEvaluation_ | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
Variance Gamma model.
References:
Dilip B. Madan, Peter Carr, Eric C. Chang (1998) "The variance gamma process and option pricing," European Finance Review, 2, 79-105