QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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FFT engine for vanilla options under a Variance Gamma process. More...
#include <ql/experimental/variancegamma/fftengine.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
#include <complex>
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Classes | |
class | FFTVarianceGammaEngine |
FFT engine for vanilla options under a Variance Gamma process. More... | |
Namespaces | |
namespace | QuantLib |
FFT engine for vanilla options under a Variance Gamma process.
Definition in file fftvariancegammaengine.hpp.