Uses of Class
net.finmath.finitedifference.assetderivativevaluation.models.VarianceGammaJumpComponent

Packages that use VarianceGammaJumpComponent

Package	Description
net.finmath.finitedifference.assetderivativevaluation.models	Package net.finmath.finitedifference.assetderivativevaluation.models.

Uses of VarianceGammaJumpComponent in net.finmath.finitedifference.assetderivativevaluation.models

Methods in net.finmath.finitedifference.assetderivativevaluation.models that return VarianceGammaJumpComponent

Modifier and Type	Method	Description
VarianceGammaJumpComponent	FDMVarianceGammaModel.getVarianceGammaJumpComponent()	Returns the value.
static VarianceGammaJumpComponent	VarianceGammaJumpComponent.ofSigmaNuTheta(double lowerIntegrationBound, double upperIntegrationBound, double sigma, double nu, double theta)	Creates a Variance Gamma jump component from the standard (sigma, nu, theta) parameterization, acting on the first state variable.
static VarianceGammaJumpComponent	VarianceGammaJumpComponent.ofSigmaNuTheta(int stateVariableIndex, double lowerIntegrationBound, double upperIntegrationBound, double sigma, double nu, double theta)	Creates a Variance Gamma jump component from the standard (sigma, nu, theta) parameterization.

Constructors in net.finmath.finitedifference.assetderivativevaluation.models with parameters of type VarianceGammaJumpComponent

Modifier	Constructor	Description
	FDMVarianceGammaModel(double initialValue, double riskFreeRate, double dividendYieldRate, VarianceGammaJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a Variance Gamma model from flat rates and an explicit jump component.
	FDMVarianceGammaModel(double initialValue, double riskFreeRate, VarianceGammaJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a Variance Gamma model from a flat risk-free rate, assuming zero dividend yield, and using an explicit jump component.
	FDMVarianceGammaModel(double initialValue, DiscountCurve riskFreeCurve, VarianceGammaJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a Variance Gamma model assuming zero dividend yield and using an explicit jump component.
	FDMVarianceGammaModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, VarianceGammaJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a Variance Gamma model from explicit discount curves and an explicit jump component.