24#ifndef quantlib_fft_vanilla_engine_hpp
25#define quantlib_fft_vanilla_engine_hpp
42 const ext::shared_ptr<GeneralizedBlackScholesProcess>&process,
43 Real logStrikeSpacing = 0.001);
44 std::unique_ptr<FFTEngine>
clone()
const override;
Base class for FFT pricing engines for European vanilla options.
FFT Pricing engine vanilla options under a Black Scholes process.
void precalculateExpiry(Date d) override
std::complex< Real > complexFourierTransform(std::complex< Real > u) const override
DiscountFactor riskFreeDiscount_
std::unique_ptr< FFTEngine > clone() const override
DiscountFactor dividendDiscount_
Real dividendYield(Date d) const override
Real discountFactor(Date d) const override
base class for FFT option pricing engines
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates