QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | analyticvariancegammaengine.cpp [code] |
file | analyticvariancegammaengine.hpp [code] |
Analytic Variance Gamma option engine for vanilla options. | |
file | fftengine.cpp [code] |
file | fftengine.hpp [code] |
base class for FFT option pricing engines | |
file | fftvanillaengine.cpp [code] |
file | fftvanillaengine.hpp [code] |
FFT engine for vanilla options under a Black Scholes process. | |
file | fftvariancegammaengine.cpp [code] |
file | fftvariancegammaengine.hpp [code] |
FFT engine for vanilla options under a Variance Gamma process. | |
file | variancegammamodel.cpp [code] |
file | variancegammamodel.hpp [code] |
Variance Gamma model. | |
file | variancegammaprocess.cpp [code] |
file | variancegammaprocess.hpp [code] |
Variance Gamma stochastic process. | |