QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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FFT Pricing engine vanilla options under a Black Scholes process. More...
#include <fftvanillaengine.hpp>
Public Member Functions | |
FFTVanillaEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &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 | var_ |
Additional Inherited Members | |
Protected Attributes inherited from FFTEngine | |
ext::shared_ptr< StochasticProcess1D > | process_ |
Real | lambda_ |
FFT Pricing engine vanilla options under a Black Scholes process.
Definition at line 39 of file fftvanillaengine.hpp.
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explicit |
Definition at line 27 of file fftvanillaengine.cpp.
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overridevirtual |
Implements FFTEngine.
Definition at line 33 of file fftvanillaengine.cpp.
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overrideprotectedvirtual |
Implements FFTEngine.
Definition at line 40 of file fftvanillaengine.cpp.
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overrideprotectedvirtual |
Implements FFTEngine.
Definition at line 60 of file fftvanillaengine.cpp.
Implements FFTEngine.
Definition at line 72 of file fftvanillaengine.cpp.
Implements FFTEngine.
Definition at line 79 of file fftvanillaengine.cpp.
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private |
Definition at line 52 of file fftvanillaengine.hpp.
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private |
Definition at line 53 of file fftvanillaengine.hpp.
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private |
Definition at line 54 of file fftvanillaengine.hpp.
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private |
Definition at line 55 of file fftvanillaengine.hpp.