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 ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real logStrikeSpacing=0.001)
std::unique_ptr< FFTEngine >	clone () const override
Public Member Functions inherited from FFTEngine
	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)

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

Additional Inherited Members
Protected Attributes inherited from FFTEngine
ext::shared_ptr< StochasticProcess1D >	process_
Real	lambda_

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.

Member Function Documentation

clone()

std::unique_ptr< FFTEngine > clone ( ) const

overridevirtual

Implements FFTEngine.

precalculateExpiry()

void precalculateExpiry ( Date d )

overrideprotectedvirtual

Implements FFTEngine.

complexFourierTransform()

std::complex< Real > complexFourierTransform ( std::complex< Real > u ) const

overrideprotectedvirtual

Implements FFTEngine.

discountFactor()

Real discountFactor ( Date d ) const

overrideprotectedvirtual

Implements FFTEngine.

dividendYield()

Real dividendYield ( Date d ) const

overrideprotectedvirtual

Implements FFTEngine.