Variance Gamma model. More...
#include <ql/experimental/variancegamma/variancegammamodel.hpp>
Public Member Functions | |
VarianceGammaModel (const ext::shared_ptr< VarianceGammaProcess > &process) | |
Real | sigma () const |
Real | nu () const |
Real | theta () const |
ext::shared_ptr< VarianceGammaProcess > | process () const |
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CalibratedModel (Size nArguments) | |
void | update () |
virtual void | calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) |
Calibrate to a set of market instruments (usually caps/swaptions) More... | |
virtual QL_DEPRECATED void | calibrate (const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) |
Real | value (const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) |
QL_DEPRECATED Real | value (const Array ¶ms, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &) |
const ext::shared_ptr< Constraint > & | constraint () const |
EndCriteria::Type | endCriteria () const |
Returns end criteria result. | |
const Array & | problemValues () const |
Returns the problem values. | |
Disposable< Array > | params () const |
Returns array of arguments on which calibration is done. | |
virtual void | setParams (const Array ¶ms) |
Integer | functionEvaluation () const |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
void | generateArguments () |
Protected Attributes | |
ext::shared_ptr< VarianceGammaProcess > | process_ |
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std::vector< Parameter > | arguments_ |
ext::shared_ptr< Constraint > | constraint_ |
EndCriteria::Type | shortRateEndCriteria_ |
Array | problemValues_ |
Integer | functionEvaluation_ |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Variance Gamma model.
References:
Dilip B. Madan, Peter Carr, Eric C. Chang (1998) "The variance gamma process and option pricing," European Finance Review, 2, 79-105