Class VarianceGammaModel

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

The variance gamma model (Madan, Carr and Chang, 1998, "The variance gamma process and option pricing", European Finance Review 2, 79-105): its process's three parameters.

[Experimental("NQL0001")]
public sealed class VarianceGammaModel : CalibratedModel, ICalibratedModel

Inheritance

object

CalibratedModel

VarianceGammaModel

Implements

ICalibratedModel

Inherited Members

CalibratedModel.Params()

CalibratedModel.WithParams(Vector)

CalibratedModel.Arguments

CalibratedModel.Constraint

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

CalibratedModelExtensions.Calibrate<TModel>(TModel, IEnumerable<CalibrationHelper>, OptimizationMethod, EndCriteria, EvaluationContext, Constraint?, ReadOnlySpan<double>, ReadOnlySpan<bool>)

CalibratedModelExtensions.SetParams<TModel>(TModel, Vector)

CalibratedModelExtensions.Value(ICalibratedModel, Vector, IEnumerable<CalibrationHelper>, EvaluationContext)

Remarks

Its arguments are σ, ν and θ, in that order, each a constant parameter: σ and ν positive, θ free. Immutable: WithParams(Vector) returns a new model, whose process GenerateArguments() builds from the given process's spot and curves and the new parameters. QuantLib doesn't implement its calibration (no helper prices on it).

Constructors

VarianceGammaModel(VarianceGammaProcess)

Initializes a new instance of the VarianceGammaModel class.

public VarianceGammaModel(VarianceGammaProcess process)

Parameters

process VarianceGammaProcess

The process whose spot, curves and parameters the model starts from.

Exceptions

ArgumentNullException

process is null.

ArgumentException

σ or ν isn't positive.

Properties

Nu

Gets the gamma process's variance rate ν.

public double Nu { get; }

Property Value

double

Process

Gets the underlying process, on the model's parameters.

public VarianceGammaProcess Process { get; }

Property Value

VarianceGammaProcess

Sigma

Gets the Brownian motion's volatility σ.

public double Sigma { get; }

Property Value

double

Theta

Gets the Brownian motion's drift θ.

public double Theta { get; }

Property Value

double

Methods

GenerateArguments()

The process, from the given process's spot and curves and the model's parameters.

protected override void GenerateArguments()