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 boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real logStrikeSpacing=0.001)
 
virtual std::auto_ptr< FFTEngineclone () const
 
- Public Member Functions inherited from FFTEngine
 FFTEngine (const boost::shared_ptr< StochasticProcess1D > &process, Real logStrikeSpacing)
 
void calculate () const
 
void update ()
 
void precalculate (const std::vector< boost::shared_ptr< Instrument > > &optionList)
 

Protected Member Functions

virtual void precalculateExpiry (Date d)
 
virtual std::complex< RealcomplexFourierTransform (std::complex< Real > u) const
 
virtual Real discountFactor (Date d) const
 
virtual Real dividendYield (Date d) const
 
- Protected Member Functions inherited from FFTEngine
void calculateUncached (boost::shared_ptr< StrikedTypePayoff > payoff, boost::shared_ptr< Exercise > exercise) const
 

Additional Inherited Members

- Protected Attributes inherited from FFTEngine
boost::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.