QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
FFTEngine Class Referenceabstract

Base class for FFT pricing engines for European vanilla options. More...

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

+ Inheritance diagram for FFTEngine:

Public Member Functions

 FFTEngine (const boost::shared_ptr< StochasticProcess1D > &process, Real logStrikeSpacing)
 
void calculate () const
 
void update ()
 
void precalculate (const std::vector< boost::shared_ptr< Instrument > > &optionList)
 
virtual std::auto_ptr< FFTEngineclone () const =0
 

Protected Member Functions

virtual void precalculateExpiry (Date d)=0
 
virtual std::complex< RealcomplexFourierTransform (std::complex< Real > u) const =0
 
virtual Real discountFactor (Date d) const =0
 
virtual Real dividendYield (Date d) const =0
 
void calculateUncached (boost::shared_ptr< StrikedTypePayoff > payoff, boost::shared_ptr< Exercise > exercise) const
 

Protected Attributes

boost::shared_ptr< StochasticProcess1Dprocess_
 
Real lambda_
 

Detailed Description

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.