Class CalibratableVarianceGammaModel

  • All Implemented Interfaces:

    public class CalibratableVarianceGammaModel
    extends Object
    implements CalibratableProcess
    This class is creates new instances of VarianceGammaModel and communicates with the optimization algorithm. This class provides clones of herself: in such a way the information concerning constraints is not lost. The method getCharacteristicFunction is then passed to the FFT pricing routine.
    Alessandro Gnoatto
    • Constructor Detail

      • CalibratableVarianceGammaModel

        public CalibratableVarianceGammaModel​(VarianceGammaModelDescriptor descriptor)
        Basic constructor where all parameters are to be calibrated. All parameters are unconstrained.
        descriptor - The model descriptor for the Variance Gamma model.