VarianceGammaEngine Class Reference

Variance Gamma Pricing engine for European vanilla options using integral approach. More...

#include <ql/experimental/variancegamma/analyticvariancegammaengine.hpp>

Inherits engine.

List of all members.

Public Member Functions

 VarianceGammaEngine (const boost::shared_ptr< VarianceGammaProcess > &)
void calculate () const

Detailed Description

Variance Gamma Pricing engine for European vanilla options using integral approach.

Tests:
the correctness of the returned values is tested by checking it against known good results.