QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
variancegammamodel.hpp
Go to the documentation of this file.
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4Copyright (C) 2010 Adrian O' Neill
5
6This file is part of QuantLib, a free-software/open-source library
7for financial quantitative analysts and developers - http://quantlib.org/
8
9QuantLib is free software: you can redistribute it and/or modify it
10under the terms of the QuantLib license. You should have received a
11copy of the license along with this program; if not, please email
12<quantlib-dev@lists.sf.net>. The license is also available online at
13<http://quantlib.org/license.shtml>.
14
15This program is distributed in the hope that it will be useful, but WITHOUT
16ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file variancegammamodel.hpp
21 \brief Variance Gamma model
22*/
23
24#ifndef quantlib_variance_gamma_model_hpp
25#define quantlib_variance_gamma_model_hpp
26
27#include <ql/models/model.hpp>
29
30namespace QuantLib {
31
32 //! Variance Gamma model
33 /*! References:
34
35 Dilip B. Madan, Peter Carr, Eric C. Chang (1998)
36 "The variance gamma process and option pricing,"
37 European Finance Review, 2, 79-105
38
39 \warning calibration is not implemented for VG
40 */
42 public:
43 explicit VarianceGammaModel(
44 const ext::shared_ptr<VarianceGammaProcess>& process);
45
46 // sigma
47 Real sigma() const { return arguments_[0](0.0); }
48 // nu
49 Real nu() const { return arguments_[1](0.0); }
50 // theta
51 Real theta() const { return arguments_[2](0.0); }
52
53 // underlying process
54 ext::shared_ptr<VarianceGammaProcess> process() const { return process_; }
55
56 protected:
57 void generateArguments() override;
58 ext::shared_ptr<VarianceGammaProcess> process_;
59 };
60
61}
62
63#endif
64
Calibrated model class.
Definition: model.hpp:86
std::vector< Parameter > arguments_
Definition: model.hpp:126
ext::shared_ptr< VarianceGammaProcess > process_
ext::shared_ptr< VarianceGammaProcess > process() const
QL_REAL Real
real number
Definition: types.hpp:50
Abstract interest rate model class.
Definition: any.hpp:35
Variance Gamma stochastic process.