Base class for FFT pricing engines for European vanilla options
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.
References:
Carr, P. and D. B. Madan (1998),
"Option Valuation using the fast Fourier transform,"
Journal of Computational Finance, 2, 61-73.
Base class for FFT pricing engines for European vanilla options
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.
References: Carr, P. and D. B. Madan (1998), "Option Valuation using the fast Fourier transform," Journal of Computational Finance, 2, 61-73.