analyticvariancegammaengine.cpp File Reference

#include <ql/exercise.hpp>
#include <ql/experimental/variancegamma/analyticvariancegammaengine.hpp>
#include <ql/math/distributions/gammadistribution.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/math/integrals/kronrodintegral.hpp>
#include <ql/math/integrals/segmentintegral.hpp>
#include <ql/pricingengines/blackscholescalculator.hpp>
#include <utility>

Go to the source code of this file.

Namespaces
namespace	QuantLib

Variable Documentation

payoff_

ext::shared_ptr<StrikedTypePayoff> payoff_

private

Definition at line 68 of file analyticvariancegammaengine.cpp.

s0_

Real s0_

private

Examples

DiscreteHedging.cpp.

Definition at line 69 of file analyticvariancegammaengine.cpp.

t_

Real t_

private

Definition at line 70 of file analyticvariancegammaengine.cpp.

riskFreeDiscount_

Real riskFreeDiscount_

private

Definition at line 71 of file analyticvariancegammaengine.cpp.

dividendDiscount_

Real dividendDiscount_

private

Definition at line 72 of file analyticvariancegammaengine.cpp.

sigma_

Rate sigma_

private

Examples

DiscreteHedging.cpp.

Definition at line 73 of file analyticvariancegammaengine.cpp.

nu_

Real nu_

private

Definition at line 74 of file analyticvariancegammaengine.cpp.

theta_

Real theta_

private

Definition at line 75 of file analyticvariancegammaengine.cpp.

omega_

Real omega_

private

Definition at line 76 of file analyticvariancegammaengine.cpp.

gammaDenom_

Real gammaDenom_

private

Definition at line 77 of file analyticvariancegammaengine.cpp.