1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>FFTEngine Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_f_f_t_engine.html">FFTEngine</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> </div>
<div class="headertitle">
<div class="title">FFTEngine Class Reference<div class="ingroups"><a class="el" href="group__vanillaengines.html">Vanilla option engines</a></div></div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::FFTEngine" --><!-- doxytag: inherits="VanillaOption::engine" -->
<p>Base class for FFT pricing engines for European vanilla options.
<a href="class_quant_lib_1_1_f_f_t_engine.html#details">More...</a></p>
<p><code>#include <ql/experimental/variancegamma/fftengine.hpp></code></p>
<div class="dynheader">
Inheritance diagram for FFTEngine:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_f_f_t_engine__inherit__graph.png" border="0" usemap="#_f_f_t_engine_inherit__map" alt="Inheritance graph"/></div>
<map name="_f_f_t_engine_inherit__map" id="_f_f_t_engine_inherit__map">
<area shape="rect" id="node3" href="class_quant_lib_1_1_f_f_t_vanilla_engine.html" title="FFT Pricing engine vanilla options under a Black Scholes process." alt="" coords="5,86,128,117"/><area shape="rect" id="node5" href="class_quant_lib_1_1_f_f_t_variance_gamma_engine.html" title="FFT engine for vanilla options under a Variance Gamma process." alt="" coords="152,86,333,117"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_f_f_t_engine-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa0711fbc7eaf022530829206e3e8be5d"></a><!-- doxytag: member="QuantLib::FFTEngine::FFTEngine" ref="aa0711fbc7eaf022530829206e3e8be5d" args="(const boost::shared_ptr< StochasticProcess1D > &process, Real logStrikeSpacing)" -->
 </td><td class="memItemRight" valign="bottom"><b>FFTEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > &process, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> logStrikeSpacing)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::FFTEngine::calculate" ref="a10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::FFTEngine::update" ref="ac5c54df7ed3b930268c8d7752c101725" args="()" -->
void </td><td class="memItemRight" valign="bottom"><b>update</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afd32d8654dad09cba7b323c7c9d6cbb1"></a><!-- doxytag: member="QuantLib::FFTEngine::precalculate" ref="afd32d8654dad09cba7b323c7c9d6cbb1" args="(const std::vector< boost::shared_ptr< Instrument > > &optionList)" -->
void </td><td class="memItemRight" valign="bottom"><b>precalculate</b> (const std::vector< boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_instrument.html">Instrument</a> > > &optionList)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a957725ec1d11493d09636c2a11701d87"></a><!-- doxytag: member="QuantLib::FFTEngine::clone" ref="a957725ec1d11493d09636c2a11701d87" args="() const =0" -->
virtual std::auto_ptr< <a class="el" href="class_quant_lib_1_1_f_f_t_engine.html">FFTEngine</a> > </td><td class="memItemRight" valign="bottom"><b>clone</b> () const =0</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2e40a97a7ca921231245e2cecf7b079b"></a><!-- doxytag: member="QuantLib::FFTEngine::precalculateExpiry" ref="a2e40a97a7ca921231245e2cecf7b079b" args="(Date d)=0" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>precalculateExpiry</b> (<a class="el" href="class_quant_lib_1_1_date.html">Date</a> d)=0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a32d2ada1c599f0ca2ad92ec1785f99d5"></a><!-- doxytag: member="QuantLib::FFTEngine::complexFourierTransform" ref="a32d2ada1c599f0ca2ad92ec1785f99d5" args="(std::complex< Real > u) const =0" -->
virtual std::complex< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>complexFourierTransform</b> (std::complex< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > u) const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aab455c4c1bfb0d09fc67ea0ce2e72524"></a><!-- doxytag: member="QuantLib::FFTEngine::discountFactor" ref="aab455c4c1bfb0d09fc67ea0ce2e72524" args="(Date d) const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountFactor</b> (<a class="el" href="class_quant_lib_1_1_date.html">Date</a> d) const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7898e0007d903e5060c003c8b6221b40"></a><!-- doxytag: member="QuantLib::FFTEngine::dividendYield" ref="a7898e0007d903e5060c003c8b6221b40" args="(Date d) const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>dividendYield</b> (<a class="el" href="class_quant_lib_1_1_date.html">Date</a> d) const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac3ff9db9e5b01f0ea882ec8a2e825238"></a><!-- doxytag: member="QuantLib::FFTEngine::calculateUncached" ref="ac3ff9db9e5b01f0ea882ec8a2e825238" args="(boost::shared_ptr< StrikedTypePayoff > payoff, boost::shared_ptr< Exercise > exercise) const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculateUncached</b> (boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> > payoff, boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_exercise.html">Exercise</a> > exercise) const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa5a59ac3cc2d12f748a336ede36c6ed2"></a><!-- doxytag: member="QuantLib::FFTEngine::process_" ref="aa5a59ac3cc2d12f748a336ede36c6ed2" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5656079ae087f3f4c7a004e45c89c7ee"></a><!-- doxytag: member="QuantLib::FFTEngine::lambda_" ref="a5656079ae087f3f4c7a004e45c89c7ee" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>lambda_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Base class for FFT pricing engines for European vanilla options. </p>
<p>The FFT engine calculates the values of all options with the same expiry at the same time. For that reason it is very inefficient to price options individually. When using this engine you should collect all the options you wish to price in a list and call the engine's precalculate method before calling the NPV method of the option.</p>
<p>References: Carr, P. and D. B. Madan (1998), "Option Valuation using the fast Fourier transform," Journal of Computational Finance, 2, 61-73. </p>
</div></div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
