QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Variance Gamma model. More...
#include <variancegammamodel.hpp>
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 ¶ms, 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 ¶ms) |
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 |
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
Definition at line 41 of file variancegammamodel.hpp.
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explicit |
Real sigma | ( | ) | const |
Real nu | ( | ) | const |
Real theta | ( | ) | const |
ext::shared_ptr< VarianceGammaProcess > process | ( | ) | const |
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overrideprotectedvirtual |
Reimplemented from CalibratedModel.
Definition at line 42 of file variancegammamodel.cpp.
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protected |
Definition at line 58 of file variancegammamodel.hpp.