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/* -*- 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

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.

#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/processes/eulerdiscretization.hpp>
#include <ql/errors.hpp>

namespace QuantLib {

        const Handle<Quote>& s0,
        const Handle<YieldTermStructure>& dividendYield,
        const Handle<YieldTermStructure>& riskFreeRate,
        Real sigma, Real nu, Real theta)
        : StochasticProcess1D(boost::shared_ptr<discretization>(
            new EulerDiscretization)),
        s0_(s0), dividendYield_(dividendYield), riskFreeRate_(riskFreeRate), 
        sigma_(sigma), nu_(nu), theta_(theta) {

00041     Real VarianceGammaProcess::x0() const
        return s0_->value();

00046     Real VarianceGammaProcess::drift(Time t, Real x) const
        QL_FAIL("not implemented yet");

00051     Real VarianceGammaProcess::diffusion(Time t, Real x) const
        QL_FAIL("not implemented yet");

    const Handle<Quote>& VarianceGammaProcess::s0() const {
        return s0_;

    const Handle<YieldTermStructure>& VarianceGammaProcess::dividendYield() const {
        return dividendYield_;

    const Handle<YieldTermStructure>& VarianceGammaProcess::riskFreeRate() const {
        return riskFreeRate_;


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