VarianceGammaEngine Class Reference

Variance Gamma Pricing engine for European vanilla options using integral approach. More...

#include <ql/experimental/variancegamma/analyticvariancegammaengine.hpp>

Inherits engine.

Public Member Functions
	VarianceGammaEngine (const ext::shared_ptr< VarianceGammaProcess > &, Real absoluteError=1e-5)
void	calculate () const

Detailed Description

Variance Gamma Pricing engine for European vanilla options using integral approach.

Tests:

the correctness of the returned values is tested by checking it against known good results.