A free/open-source library for quantitative finance
Reference manual - version 1.12
ql
experimental
variancegamma
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.
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