QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
variancegamma Directory Reference

Files

file  analyticvariancegammaengine.hpp
 Analytic Variance Gamma option engine for vanilla options.
 
file  fftengine.hpp
 base class for FFT option pricing engines
 
file  fftvanillaengine.hpp
 FFT engine for vanilla options under a Black Scholes process.
 
file  fftvariancegammaengine.hpp
 FFT engine for vanilla options under a Variance Gamma process.
 
file  variancegammamodel.hpp
 Variance Gamma model.
 
file  variancegammaprocess.hpp
 Variance Gamma stochastic process.