fftvariancegammaengine.hpp File Reference

FFT engine for vanilla options under a Variance Gamma process. More...

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

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Classes
class	FFTVarianceGammaEngine
	FFT engine for vanilla options under a Variance Gamma process. More...

Namespaces
namespace	QuantLib

Detailed Description

FFT engine for vanilla options under a Variance Gamma process.

Definition in file fftvariancegammaengine.hpp.