FFTVarianceGammaEngine

FFT engine for vanilla options under a Variance Gamma process

test: the correctness of the returned values is tested by comparison with known good values and the analytic approach

Hierarchy

FFTEngine
- FFTVarianceGammaEngine

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new FFTVarianceGammaEngine(process: VarianceGammaProcess, logStrikeSpacing?: Real): FFTVarianceGammaEngine

Overrides FFTEngine.constructor
- Defined in ql/experimental/variancegamma/fftvariancegammaengine.ts:18
Parameters
- process: VarianceGammaProcess
- Default value logStrikeSpacing: Real = 0.001
Returns FFTVarianceGammaEngine

Properties

_arguments

_arguments: Arguments

Private _dividendDiscount

_dividendDiscount: DiscountFactor

_isDisposed

_isDisposed: boolean = false

Protected _lambda

_lambda: Real

Private _nu

_nu: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _process

_process: StochasticProcess1D

_results

_results: Results

Private _riskFreeDiscount

_riskFreeDiscount: DiscountFactor

Private _sigma

_sigma: Real

Private _t

_t: Time

Private _theta

_theta: Real

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

calculate

calculate(): void

Inherited from FFTEngine.calculate

Overrides PricingEngineObserver.calculate
- Defined in ql/experimental/variancegamma/fftengine.ts:42
Returns void

Protected calculateUncached

calculateUncached(payoff: StrikedTypePayoff, exercise: Exercise): void

Inherited from FFTEngine.calculateUncached
- Defined in ql/experimental/variancegamma/fftengine.ts:224
Parameters
- payoff: StrikedTypePayoff
- exercise: Exercise
Returns void

clone

clone(): FFTEngine

Overrides FFTEngine.clone
- Defined in ql/experimental/variancegamma/fftvariancegammaengine.ts:23
Returns FFTEngine

Protected complexFourierTransform

complexFourierTransform(u: Complex): Complex

Overrides FFTEngine.complexFourierTransform
- Defined in ql/experimental/variancegamma/fftvariancegammaengine.ts:43
Parameters
- u: Complex
Returns Complex

Protected discountFactor

discountFactor(d: Date): Real

Overrides FFTEngine.discountFactor
- Defined in ql/experimental/variancegamma/fftvariancegammaengine.ts:72
Parameters
- d: Date
Returns Real

Protected dividendYield

dividendYield(d: Date): Real

Overrides FFTEngine.dividendYield
- Defined in ql/experimental/variancegamma/fftvariancegammaengine.ts:77
Parameters
- d: Date
Returns Real

getArguments

getArguments(): Arguments

Inherited from GenericEngine.getArguments

Overrides PricingEngineObserver.getArguments
- Defined in ql/genericengine.ts:17
Returns Arguments

getResults

getResults(): Results

Inherited from GenericEngine.getResults

Overrides PricingEngineObserver.getResults
- Defined in ql/genericengine.ts:21
Returns Results

precalculate

precalculate(optionList: Instrument[]): void

Inherited from FFTEngine.precalculate
- Defined in ql/experimental/variancegamma/fftengine.ts:78
Parameters
- optionList: Instrument[]
Returns void

Protected precalculateExpiry

precalculateExpiry(d: Date): void

Overrides FFTEngine.precalculateExpiry
- Defined in ql/experimental/variancegamma/fftvariancegammaengine.ts:28
Parameters
- d: Date
Returns void

reset

reset(): void

Inherited from GenericEngine.reset

Overrides PricingEngineObserver.reset
- Defined in ql/genericengine.ts:25
Returns void

update

update(): void

Inherited from FFTEngine.update

Overrides GenericEngine.update
- Defined in ql/experimental/variancegamma/fftengine.ts:70
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

process: VarianceGammaProcess

Default value logStrikeSpacing: Real = 0.001

Returns FFTVarianceGammaEngine

Properties

_arguments

Private _dividendDiscount

_isDisposed

Protected _lambda

Private _nu

_observables

_observers

Protected _process

_results

Private _riskFreeDiscount

Private _sigma

Private _t

Private _theta

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

calculate

Returns void

Protected calculateUncached

Parameters

payoff: StrikedTypePayoff

exercise: Exercise

Returns void

clone

Returns FFTEngine

Protected complexFourierTransform

Parameters

u: Complex

Returns Complex

Protected discountFactor

Parameters