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<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
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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_vanilla_engine.html">FFTVanillaEngine</a></li> </ul>
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<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> |
<a href="class_quant_lib_1_1_f_f_t_vanilla_engine-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">FFTVanillaEngine Class Reference<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>FFT Pricing engine vanilla options under a Black Scholes process.
<a href="class_quant_lib_1_1_f_f_t_vanilla_engine.html#details">More...</a></p>
<p><code>#include <ql/experimental/variancegamma/fftvanillaengine.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for FFTVanillaEngine:</div>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:ab33964602ea9a4fd48c574a0ac927852"><td class="memItemLeft" align="right" valign="top"><a id="ab33964602ea9a4fd48c574a0ac927852"></a>
 </td><td class="memItemRight" valign="bottom"><b>FFTVanillaEngine</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &process, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> logStrikeSpacing=0.001)</td></tr>
<tr class="separator:ab33964602ea9a4fd48c574a0ac927852"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a70163ba27ac2c056360f9a431e5f56f4"><td class="memItemLeft" align="right" valign="top"><a id="a70163ba27ac2c056360f9a431e5f56f4"></a>
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</td></tr>
<tr class="separator:a70163ba27ac2c056360f9a431e5f56f4"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_f_f_t_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_f_f_t_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_f_f_t_engine.html">FFTEngine</a></td></tr>
<tr class="memitem:a37b202c6f8a81a2fec4e2f5a1e2a2a44 inherit pub_methods_class_quant_lib_1_1_f_f_t_engine"><td class="memItemLeft" align="right" valign="top"><a id="a37b202c6f8a81a2fec4e2f5a1e2a2a44"></a>
 </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>
<tr class="separator:a37b202c6f8a81a2fec4e2f5a1e2a2a44 inherit pub_methods_class_quant_lib_1_1_f_f_t_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a082ff96da379d5e17436372ccb3c0972 inherit pub_methods_class_quant_lib_1_1_f_f_t_engine"><td class="memItemLeft" align="right" valign="top"><a id="a082ff96da379d5e17436372ccb3c0972"></a>
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
<tr class="separator:a082ff96da379d5e17436372ccb3c0972 inherit pub_methods_class_quant_lib_1_1_f_f_t_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_f_f_t_engine"><td class="memItemLeft" align="right" valign="top"><a id="ac5c54df7ed3b930268c8d7752c101725"></a>
void </td><td class="memItemRight" valign="bottom"><b>update</b> ()</td></tr>
<tr class="separator:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_f_f_t_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a68decc04dca5b20473b563366643c268 inherit pub_methods_class_quant_lib_1_1_f_f_t_engine"><td class="memItemLeft" align="right" valign="top"><a id="a68decc04dca5b20473b563366643c268"></a>
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>
<tr class="separator:a68decc04dca5b20473b563366643c268 inherit pub_methods_class_quant_lib_1_1_f_f_t_engine"><td class="memSeparator" colspan="2"> </td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></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)</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</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</td></tr>
<tr class="separator:a992dbf3e847a8e2041063b197c7085cc"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7bb2d6993613e0525b0ae2f3471c33bb"><td class="memItemLeft" align="right" valign="top"><a id="a7bb2d6993613e0525b0ae2f3471c33bb"></a>
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</td></tr>
<tr class="separator:a7bb2d6993613e0525b0ae2f3471c33bb"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_f_f_t_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_f_f_t_engine')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_f_f_t_engine.html">FFTEngine</a></td></tr>
<tr class="memitem:a5790e50f25b241f5766e504cee67976f inherit pro_methods_class_quant_lib_1_1_f_f_t_engine"><td class="memItemLeft" align="right" valign="top"><a id="a5790e50f25b241f5766e504cee67976f"></a>
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>
<tr class="separator:a5790e50f25b241f5766e504cee67976f inherit pro_methods_class_quant_lib_1_1_f_f_t_engine"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_f_f_t_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_f_f_t_engine')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_f_f_t_engine.html">FFTEngine</a></td></tr>
<tr class="memitem:a62da55a131bbb15ead4c587038824bca inherit pro_attribs_class_quant_lib_1_1_f_f_t_engine"><td class="memItemLeft" align="right" valign="top"><a id="a62da55a131bbb15ead4c587038824bca"></a>
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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<tr class="memitem:a5656079ae087f3f4c7a004e45c89c7ee inherit pro_attribs_class_quant_lib_1_1_f_f_t_engine"><td class="memItemLeft" align="right" valign="top"><a id="a5656079ae087f3f4c7a004e45c89c7ee"></a>
<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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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>FFT Pricing engine vanilla options under a Black Scholes process. </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000018">Tests:</a></b></dt><dd>the correctness of the returned values is tested by comparison with Black Scholes pricing. </dd></dl>
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