VarianceGammaModel Class Reference

Variance Gamma model. More...

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

Inheritance diagram for VarianceGammaModel:

Public Member Functions
	VarianceGammaModel (const boost::shared_ptr< VarianceGammaProcess > &process)

Real	sigma () const

Real	nu () const

Real	theta () const

boost::shared_ptr < VarianceGammaProcess >	process () const

Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)

void	update ()

void	calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())
	Calibrate to a set of market instruments (caps/swaptions) More...

Real	value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)

const boost::shared_ptr < Constraint > &	constraint () const

EndCriteria::Type	endCriteria ()
	returns end criteria result

Disposable< Array >	params () const
	Returns array of arguments on which calibration is done.

virtual void	setParams (const Array &params)

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (const Observer &)

std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)

Size	unregisterWith (const boost::shared_ptr< Observable > &)

void	unregisterWithAll ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Protected Attributes
boost::shared_ptr < VarianceGammaProcess >	process_

Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_

boost::shared_ptr< Constraint >	constraint_

EndCriteria::Type	shortRateEndCriteria_

Detailed Description

Variance Gamma model.

References:

Dilip B. Madan, Peter Carr, Eric C. Chang (1998) "The variance gamma process and option pricing," European Finance Review, 2, 79-105