QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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analyticvariancegammaengine.cpp File Reference
#include <ql/exercise.hpp>
#include <ql/experimental/variancegamma/analyticvariancegammaengine.hpp>
#include <ql/math/distributions/gammadistribution.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/math/integrals/kronrodintegral.hpp>
#include <ql/math/integrals/segmentintegral.hpp>
#include <ql/pricingengines/blackscholescalculator.hpp>
#include <utility>

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Namespaces

namespace  QuantLib
 

Variable Documentation

◆ payoff_

ext::shared_ptr<StrikedTypePayoff> payoff_
private

Definition at line 68 of file analyticvariancegammaengine.cpp.

◆ s0_

Real s0_
private
Examples
DiscreteHedging.cpp.

Definition at line 69 of file analyticvariancegammaengine.cpp.

◆ t_

Real t_
private

Definition at line 70 of file analyticvariancegammaengine.cpp.

◆ riskFreeDiscount_

Real riskFreeDiscount_
private

Definition at line 71 of file analyticvariancegammaengine.cpp.

◆ dividendDiscount_

Real dividendDiscount_
private

Definition at line 72 of file analyticvariancegammaengine.cpp.

◆ sigma_

Rate sigma_
private
Examples
DiscreteHedging.cpp.

Definition at line 73 of file analyticvariancegammaengine.cpp.

◆ nu_

Real nu_
private

Definition at line 74 of file analyticvariancegammaengine.cpp.

◆ theta_

Real theta_
private

Definition at line 75 of file analyticvariancegammaengine.cpp.

◆ omega_

Real omega_
private

Definition at line 76 of file analyticvariancegammaengine.cpp.

◆ gammaDenom_

Real gammaDenom_
private

Definition at line 77 of file analyticvariancegammaengine.cpp.