Module net.finmath.lib
Package net.finmath.fouriermethod.models

Class VarianceGammaModel

java.lang.Object
net.finmath.fouriermethod.models.VarianceGammaModel
All Implemented Interfaces:
CharacteristicFunctionModel, Model
public class VarianceGammaModel
extends Object
implements CharacteristicFunctionModel
Implements the characteristic function of a Variance Gamma model. The Variange Gamma model is constructed from a subordinated Brownian motion, where the subordinator is given by a Gamma process.
Version:
1.0
Author:
Alessandro Gnoatto

  • Constructor Details

    • VarianceGammaModel

      public VarianceGammaModel​(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu)
      Construct a Variance Gamma model with discount curves for the forward price (i.e. repo rate minus dividend yield) and for discounting.
      Parameters:
      referenceDate - The date representing the time t = 0. All other double times are following FloatingpointDate.
      initialValue - \( S_{0} \) - spot - initial value of S
      discountCurveForForwardRate - The curve specifying \( t \mapsto exp(- r^{\text{c}}(t) \cdot t) \) - with \( r^{\text{c}}(t) \) the risk free rate
      discountCurveForDiscountRate - The curve specifying \( t \mapsto exp(- r^{\text{d}}(t) \cdot t) \) - with \( r^{\text{d}}(t) \) the discount rate
      sigma - The parameter \( \sigma \)
      theta - The parameter \( \theta \)
      nu - The parameter \( \nu \)

    • VarianceGammaModel

      public VarianceGammaModel​(double initialValue, double riskFreeRate, double discountRate, double sigma, double theta, double nu)
      Construct a Variance Gamma model with constant rates for the forward price (i.e. repo rate minus dividend yield) and for the discount curve.
      Parameters:
      initialValue - \( S_{0} \) - spot - initial value of S
      riskFreeRate - The constant risk free rate for the drift (repo rate of the underlying).
      sigma - The parameter \( \sigma \)
      theta - The parameter \( \theta \)
      nu - The parameter \( \nu \)
      discountRate - The constant rate used for discounting.

  • Method Details