[Quantlib-dev] Variance Gamma models

[Adrian O' N. <ao...@ao...>]

Hi,
I was wondering if anyone had done any work in integrating Variance Gamma
models (such as CGMY) in to QuantLib yet, or if it was on the roadmap?  If
not, I understand I'd have to solve numerically using FFT - I know there was
a FFT engine going in to QL, but I wasn't sure if that was complete yet?

Regards,
Adrian