| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2010 Adrian O' Neill |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file fftvanillaengine.hpp |
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| 21 | \brief FFT engine for vanilla options under a Black Scholes process |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_fft_vanilla_engine_hpp |
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| 25 | #define quantlib_fft_vanilla_engine_hpp |
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| 26 | |
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| 27 | #include <ql/experimental/variancegamma/fftengine.hpp> |
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| 28 | #include <ql/processes/blackscholesprocess.hpp> |
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| 29 | #include <complex> |
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| 30 | |
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| 31 | namespace QuantLib { |
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| 32 | |
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| 33 | //! FFT Pricing engine vanilla options under a Black Scholes process |
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| 34 | /*! \ingroup vanillaengines |
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| 35 | |
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| 36 | \test the correctness of the returned values is tested by |
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| 37 | comparison with Black Scholes pricing. |
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| 38 | */ |
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| 39 | class FFTVanillaEngine : public FFTEngine { |
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| 40 | public: |
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| 41 | explicit FFTVanillaEngine( |
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| 42 | const ext::shared_ptr<GeneralizedBlackScholesProcess>&process, |
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| 43 | Real logStrikeSpacing = 0.001); |
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| 44 | std::unique_ptr<FFTEngine> clone() const override; |
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| 45 | protected: |
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| 46 | void precalculateExpiry(Date d) override; |
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| 47 | std::complex<Real> complexFourierTransform(std::complex<Real> u) const override; |
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| 48 | Real discountFactor(Date d) const override; |
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| 49 | Real dividendYield(Date d) const override; |
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| 50 | |
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| 51 | private: |
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| 52 | DiscountFactor dividendDiscount_; |
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| 53 | DiscountFactor riskFreeDiscount_; |
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| 54 | Time t_; |
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| 55 | Real var_; |
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| 56 | }; |
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| 57 | |
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| 58 | } |
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| 59 | |
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| 60 | |
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| 61 | #endif |
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| 62 | |
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| 63 | |
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