QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
variancegamma
variancegammamodel.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2010 Adrian O' Neill
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file variancegammamodel.hpp
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\brief Variance Gamma model
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*/
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#ifndef quantlib_variance_gamma_model_hpp
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#define quantlib_variance_gamma_model_hpp
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#include <
ql/models/model.hpp
>
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#include <
ql/experimental/variancegamma/variancegammaprocess.hpp
>
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namespace
QuantLib
{
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//! Variance Gamma model
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/*! References:
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Dilip B. Madan, Peter Carr, Eric C. Chang (1998)
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"The variance gamma process and option pricing,"
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European Finance Review, 2, 79-105
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\warning calibration is not implemented for VG
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*/
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class
VarianceGammaModel
:
public
CalibratedModel
{
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public
:
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explicit
VarianceGammaModel
(
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const
ext::shared_ptr<VarianceGammaProcess>&
process
);
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// sigma
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Real
sigma
()
const
{
return
arguments_
[0](0.0); }
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// nu
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Real
nu
()
const
{
return
arguments_
[1](0.0); }
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// theta
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Real
theta
()
const
{
return
arguments_
[2](0.0); }
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// underlying process
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ext::shared_ptr<VarianceGammaProcess>
process
()
const
{
return
process_
; }
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protected
:
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void
generateArguments
()
override
;
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ext::shared_ptr<VarianceGammaProcess>
process_
;
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};
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}
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#endif
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QuantLib::CalibratedModel
Calibrated model class.
Definition:
model.hpp:86
QuantLib::CalibratedModel::arguments_
std::vector< Parameter > arguments_
Definition:
model.hpp:126
QuantLib::VarianceGammaModel
Variance Gamma model.
Definition:
variancegammamodel.hpp:41
QuantLib::VarianceGammaModel::process_
ext::shared_ptr< VarianceGammaProcess > process_
Definition:
variancegammamodel.hpp:58
QuantLib::VarianceGammaModel::theta
Real theta() const
Definition:
variancegammamodel.hpp:51
QuantLib::VarianceGammaModel::process
ext::shared_ptr< VarianceGammaProcess > process() const
Definition:
variancegammamodel.hpp:54
QuantLib::VarianceGammaModel::sigma
Real sigma() const
Definition:
variancegammamodel.hpp:47
QuantLib::VarianceGammaModel::generateArguments
void generateArguments() override
Definition:
variancegammamodel.cpp:42
QuantLib::VarianceGammaModel::nu
Real nu() const
Definition:
variancegammamodel.hpp:49
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
model.hpp
Abstract interest rate model class.
QuantLib
Definition:
any.hpp:35
variancegammaprocess.hpp
Variance Gamma stochastic process.
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