Re: [Quantlib-users] Variance Gamma implementation in Quantlib?

[animesh s. <ani...@gm...>]

  It's simple to implement Gamma process, and VG Process can be easily 
written as difference of two independent gamma processes.

http://en.wikipedia.org/wiki/Variance_gamma_process

I have used Gamma process with notation Mu or Nu, Theta , and Sigma. The 
formulas are in CGM Notation (Carr Madan...)
If anyone is interested in Matlab....following code works.


rand('state',sum(100*clock));
randn('state',sum(100*clock));
Snul=100; T=1; r=0.04;
q=0.03; n=250; nu=0.10; sigma=0.2;
theta= -0.15 omega=log(1-sigma^2*nu/2-theta*nu)/nu;
C=1/nu;
G=(sqrt(theta^2*nu^2/4+sigma^2*nu/2)-theta*nu/2)^(-1);
M=(sqrt(theta^2*nu^2/4+sigma^2*nu/2)+theta*nu/2)^(-1);
dt=T/n;
tt=[0:dt:T];
S(1)=Snul;
vg(1)=0;
for s = 1:n
g1= gamrnd(dt*C,1/M);
g2= gamrnd(dt*C,1/G);
vg(s+1) = vg(s) + g1-g2;
S(s+1) = Snul*exp((r-q+omega)*tt(s+1)+vg(s+1));
end;

On 7/27/10 6:13 PM, james hirschorn wrote:
> There is some implementation of Variance Gamma in 
> "ql/experimental/variancegamma". I haven't had a chance to try it 
> myself yet.
>
> James
>
> ------------------------------------------------------------------------
> *From:* piers august <pie...@ho...>
> *To:* qua...@li...
> *Sent:* Tue, July 27, 2010 6:50:15 AM
> *Subject:* [Quantlib-users] Variance Gamma implementation in Quantlib?
>
> Hi All,
>
> Is there such for vanilla options in the Quantlib or plans to add it 
> at anytime if not?
>
> I'm aware of this:
> http://www.amazon.com/Option-Pricing-Under-Variance-Process/dp/3639188799
>
> thanks
> Piers
>
>
>
>
> ------------------------------------------------------------------------------
> The Palm PDK Hot Apps Program offers developers who use the
> Plug-In Development Kit to bring their C/C++ apps to Palm for a share
> of $1 Million in cash or HP Products. Visit us here for more details:
> http://ad.doubleclick.net/clk;226879339;13503038;l?
> http://clk.atdmt.com/CRS/go/247765532/direct/01/
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

-- 
Regards,
Animesh Saxena

(http://quantanalysis.wordpress.com)