Re: [Quantlib-dev] Variance Gamma models

[Luigi B. <lui...@gm...>]

Hi Adrian,

On Mon, 2008-02-18 at 20:35 +0000, Adrian O' Neill wrote:
> 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?

No, nothing yet.

> 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?

Last I knew, there were a few stub files in the repository (you'll see
them in ql/math if you check out the trunk from Subversion) but the
implementation was not complete.  Joe, do you have any comment on this?

Later,
	Luigi


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