FFTVarianceGammaEngine Class Reference

FFT engine for vanilla options under a Variance Gamma process. More...

#include <fftvariancegammaengine.hpp>

Inheritance diagram for FFTVarianceGammaEngine:

Collaboration diagram for FFTVarianceGammaEngine:

Public Member Functions
	FFTVarianceGammaEngine (const ext::shared_ptr< VarianceGammaProcess > &process, Real logStrikeSpacing=0.001)
std::unique_ptr< FFTEngine >	clone () const override
Public Member Functions inherited from FFTEngine
	FFTEngine (ext::shared_ptr< StochasticProcess1D > process, Real logStrikeSpacing)
void	calculate () const override
void	update () override
void	precalculate (const std::vector< ext::shared_ptr< Instrument > > &optionList)
virtual std::unique_ptr< FFTEngine >	clone () const =0

Protected Member Functions
void	precalculateExpiry (Date d) override
std::complex< Real >	complexFourierTransform (std::complex< Real > u) const override
Real	discountFactor (Date d) const override
Real	dividendYield (Date d) const override
Protected Member Functions inherited from FFTEngine
virtual void	precalculateExpiry (Date d)=0
virtual std::complex< Real >	complexFourierTransform (std::complex< Real > u) const =0
virtual Real	discountFactor (Date d) const =0
virtual Real	dividendYield (Date d) const =0
void	calculateUncached (const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise) const

Private Attributes
DiscountFactor	dividendDiscount_
DiscountFactor	riskFreeDiscount_
Time	t_
Real	sigma_
Real	nu_
Real	theta_

Additional Inherited Members
Protected Attributes inherited from FFTEngine
ext::shared_ptr< StochasticProcess1D >	process_
Real	lambda_

Detailed Description

FFT engine for vanilla options under a Variance Gamma process.

Tests:

the correctness of the returned values is tested by comparison with known good values and the analytic approach

Definition at line 39 of file fftvariancegammaengine.hpp.

Constructor & Destructor Documentation

FFTVarianceGammaEngine()

FFTVarianceGammaEngine ( const ext::shared_ptr< VarianceGammaProcess > &  process, Real  logStrikeSpacing = 0.001  )

explicit

Definition at line 25 of file fftvariancegammaengine.cpp.

Member Function Documentation

clone()

std::unique_ptr< FFTEngine > clone ( ) const

overridevirtual

Implements FFTEngine.

Definition at line 31 of file fftvariancegammaengine.cpp.

precalculateExpiry()

void precalculateExpiry ( Date  d )

overrideprotectedvirtual

Implements FFTEngine.

Definition at line 38 of file fftvariancegammaengine.cpp.

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complexFourierTransform()

std::complex< Real > complexFourierTransform ( std::complex< Real >  u ) const

overrideprotectedvirtual

Implements FFTEngine.

Definition at line 56 of file fftvariancegammaengine.cpp.

discountFactor()

Real discountFactor ( Date  d ) const

overrideprotectedvirtual

Implements FFTEngine.

Definition at line 70 of file fftvariancegammaengine.cpp.

dividendYield()

Real dividendYield ( Date  d ) const

overrideprotectedvirtual

Implements FFTEngine.

Definition at line 77 of file fftvariancegammaengine.cpp.

Member Data Documentation

dividendDiscount_

DiscountFactor dividendDiscount_

private

Definition at line 52 of file fftvariancegammaengine.hpp.

riskFreeDiscount_

DiscountFactor riskFreeDiscount_

private

Definition at line 53 of file fftvariancegammaengine.hpp.

t_

Time t_

private

Definition at line 54 of file fftvariancegammaengine.hpp.

sigma_

Real sigma_

private

Definition at line 55 of file fftvariancegammaengine.hpp.

nu_

Real nu_

private

Definition at line 56 of file fftvariancegammaengine.hpp.

theta_

Real theta_

private

Definition at line 57 of file fftvariancegammaengine.hpp.