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<!-- doxytag: class="QuantLib::VarianceGammaModel" --><!-- doxytag: inherits="QuantLib::CalibratedModel" -->
<p>Variance Gamma model.
<a href="class_quant_lib_1_1_variance_gamma_model.html#details">More...</a></p>
<p><code>#include <ql/experimental/variancegamma/variancegammamodel.hpp></code></p>
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Inheritance diagram for VarianceGammaModel:</div>
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<p><a href="class_quant_lib_1_1_variance_gamma_model-members.html">List of all members.</a></p>
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<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="a91960bc4315b6d52af31c8c47d4328d2"></a><!-- doxytag: member="QuantLib::VarianceGammaModel::VarianceGammaModel" ref="a91960bc4315b6d52af31c8c47d4328d2" args="(const boost::shared_ptr< VarianceGammaProcess > &process)" -->
 </td><td class="memItemRight" valign="bottom"><b>VarianceGammaModel</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_variance_gamma_process.html">VarianceGammaProcess</a> > &process)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a78bca11664a7d403bde6a9842f72ae61"></a><!-- doxytag: member="QuantLib::VarianceGammaModel::sigma" ref="a78bca11664a7d403bde6a9842f72ae61" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sigma</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a69c12ede1099bb0263342867dd12e045"></a><!-- doxytag: member="QuantLib::VarianceGammaModel::nu" ref="a69c12ede1099bb0263342867dd12e045" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nu</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7a00901daf5bbc66f00e4772cbe0c98f"></a><!-- doxytag: member="QuantLib::VarianceGammaModel::theta" ref="a7a00901daf5bbc66f00e4772cbe0c98f" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad3133515422aa6fbc4fb7babd1de296a"></a><!-- doxytag: member="QuantLib::VarianceGammaModel::process" ref="ad3133515422aa6fbc4fb7babd1de296a" args="() const " -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_variance_gamma_process.html">VarianceGammaProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process</b> () const </td></tr>
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Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4d8a7e8e132cf1dd8d1d9eac02f2bfae"></a><!-- doxytag: member="QuantLib::VarianceGammaModel::generateArguments" ref="a4d8a7e8e132cf1dd8d1d9eac02f2bfae" args="()" -->
void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
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Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab36bbe36365d265741871d4414314e11"></a><!-- doxytag: member="QuantLib::VarianceGammaModel::process_" ref="ab36bbe36365d265741871d4414314e11" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_variance_gamma_process.html">VarianceGammaProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Variance Gamma model. </p>
<p>References:</p>
<p>Dilip B. Madan, Peter Carr, Eric C. Chang (1998) "The variance gamma process and option pricing," European Finance Review, 2, 79-105</p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000018">Warning:</a></b></dt><dd>calibration is not implemented for VG </dd></dl>
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