VarianceGammaEngine Class Reference

Variance Gamma Pricing engine for European vanilla options using integral approach. More...

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

Public Member Functions
	VarianceGammaEngine (ext::shared_ptr< VarianceGammaProcess >, Real absoluteError=1e-5)
void	calculate () const override

Detailed Description

Variance Gamma Pricing engine for European vanilla options using integral approach.

Tests

the correctness of the returned values is tested by checking it against known good results.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.