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 Black Scholes process. More...
#include <ql/experimental/variancegamma/fftengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <complex>
Go to the source code of this file.
Classes | |
class | FFTVanillaEngine |
FFT Pricing engine vanilla options under a Black Scholes process. More... | |
Namespaces | |
namespace | QuantLib |
FFT engine for vanilla options under a Black Scholes process.
Definition in file fftvanillaengine.hpp.