FFTEngine Class Reference

Base class for FFT pricing engines for European vanilla options. More...

#include <ql/experimental/variancegamma/fftengine.hpp>

Inheritance diagram for FFTEngine:

Public Member Functions
	FFTEngine (ext::shared_ptr< StochasticProcess1D > process, Real logStrikeSpacing)
void	calculate () const override
void	update () override
void	precalculate (const std::vector< ext::shared_ptr< Instrument > > &optionList)
virtual std::unique_ptr< FFTEngine >	clone () const =0

Protected Member Functions
virtual void	precalculateExpiry (Date d)=0
virtual std::complex< Real >	complexFourierTransform (std::complex< Real > u) const =0
virtual Real	discountFactor (Date d) const =0
virtual Real	dividendYield (Date d) const =0
void	calculateUncached (const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise) const

Protected Attributes
ext::shared_ptr< StochasticProcess1D >	process_
Real	lambda_

Detailed Description

Base class for FFT pricing engines for European vanilla options.

The FFT engine calculates the values of all options with the same expiry at the same time. For that reason it is very inefficient to price options individually. When using this engine you should collect all the options you wish to price in a list and call the engine's precalculate method before calling the NPV method of the option.

References: Carr, P. and D. B. Madan (1998), "Option Valuation using the fast Fourier transform," Journal of Computational Finance, 2, 61-73.