/usr/include/ql/experimental/variancegamma/variancegammamodel.hpp is in libquantlib0-dev 1.4-2.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Adrian O' Neill
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file variancegammamodel.hpp
\brief Variance Gamma model
*/
#ifndef quantlib_variance_gamma_model_hpp
#define quantlib_variance_gamma_model_hpp
#include <ql/models/model.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
namespace QuantLib {
//! 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
\warning calibration is not implemented for VG
*/
class VarianceGammaModel : public CalibratedModel {
public:
VarianceGammaModel(const boost::shared_ptr<VarianceGammaProcess>& process);
// sigma
Real sigma() const { return arguments_[0](0.0); }
// nu
Real nu() const { return arguments_[1](0.0); }
// theta
Real theta() const { return arguments_[2](0.0); }
// underlying process
boost::shared_ptr<VarianceGammaProcess> process() const { return process_; }
protected:
void generateArguments();
boost::shared_ptr<VarianceGammaProcess> process_;
};
}
#endif
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