fftvariancegammaengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
Copyright (C) 2010 Adrian O' Neill
 
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
 
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license.  You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
 
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file fftvariancegammaengine.hpp
    \brief \brief FFT engine for vanilla options under a Variance Gamma process
*/
 
#ifndef quantlib_fft_variancegamma_engine_hpp
#define quantlib_fft_variancegamma_engine_hpp
 
#include <ql/experimental/variancegamma/fftengine.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
#include <complex>
 
namespace QuantLib {
 
    //! FFT engine for vanilla options under a Variance Gamma process
    /*! \ingroup vanillaengines
 
        \test the correctness of the returned values is tested by
        comparison with known good values and the analytic approach
    */
    class FFTVarianceGammaEngine : public FFTEngine {
    public:
        explicit FFTVarianceGammaEngine(
            const ext::shared_ptr<VarianceGammaProcess>&process,
            Real logStrikeSpacing = 0.001);
        std::unique_ptr<FFTEngine> clone() const override;
    protected:
        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;
 
    private:
        DiscountFactor dividendDiscount_;
        DiscountFactor riskFreeDiscount_;
        Time t_;
        Real sigma_;
        Real nu_;
        Real theta_;
    };
 
}
 
 
#endif