VarianceGammaModel Class Reference

Variance Gamma model. More...

#include <variancegammamodel.hpp>

Inheritance diagram for VarianceGammaModel:

Collaboration diagram for VarianceGammaModel:

Public Member Functions
	VarianceGammaModel (const ext::shared_ptr< VarianceGammaProcess > &process)
Real	sigma () const
Real	nu () const
Real	theta () const
ext::shared_ptr< VarianceGammaProcess >	process () const
Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)
void	update () override
virtual void	calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...
Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
const ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...
const Array &	problemValues () const
	Returns the problem values. More...
Array	params () const
	Returns array of arguments on which calibration is done. More...
virtual void	setParams (const Array &params)
Integer	functionEvaluation () const
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Protected Member Functions
void	generateArguments () override
virtual void	generateArguments ()

Protected Attributes
ext::shared_ptr< VarianceGammaProcess >	process_
Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Variance Gamma model.

References:

Dilip B. Madan, Peter Carr, Eric C. Chang (1998) "The variance gamma process and option pricing," European Finance Review, 2, 79-105

Warning:

calibration is not implemented for VG

Definition at line 41 of file variancegammamodel.hpp.

Constructor & Destructor Documentation

VarianceGammaModel()

VarianceGammaModel ( const ext::shared_ptr< VarianceGammaProcess > &  process )

explicit

Definition at line 25 of file variancegammamodel.cpp.

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Member Function Documentation

sigma()

Real sigma

(

)

const

Definition at line 47 of file variancegammamodel.hpp.

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nu()

Real nu

(

)

const

Definition at line 49 of file variancegammamodel.hpp.

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theta()

Real theta

(

)

const

Definition at line 51 of file variancegammamodel.hpp.

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process()

ext::shared_ptr< VarianceGammaProcess > process

(

)

const

Definition at line 54 of file variancegammamodel.hpp.

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generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 42 of file variancegammamodel.cpp.

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Member Data Documentation

process_

ext::shared_ptr<VarianceGammaProcess> process_

protected

Definition at line 58 of file variancegammamodel.hpp.