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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_f_f_t_engine.html">FFTEngine</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">FFTEngine Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span><div class="ingroups"><a class="el" href="group__engines.html">Pricing engines</a> » <a class="el" href="group__vanillaengines.html">Vanilla option engines</a></div></div> </div>
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<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>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for FFTEngine:</div>
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>FFTEngine</b> (const ext::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>
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void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>update</b> ()</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>precalculate</b> (const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_instrument.html">Instrument</a> > > &optionList)</td></tr>
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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>
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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>
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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>
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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>
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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>
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void </td><td class="memItemRight" valign="bottom"><b>calculateUncached</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> > &payoff, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_exercise.html">Exercise</a> > &exercise) const</td></tr>
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ext::shared_ptr< <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>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>lambda_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">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>
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