fftvanillaengine.hpp File Reference

FFT engine for vanilla options under a Black Scholes process. More...

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

Go to the source code of this file.

Classes
class	FFTVanillaEngine
	FFT Pricing engine vanilla options under a Black Scholes process. More...

Namespaces
namespace	QuantLib

Detailed Description

FFT engine for vanilla options under a Black Scholes process.

Definition in file fftvanillaengine.hpp.