[Quantlib-dev] Implementation of the Fourier transform of the option price as a function of the characteristic function Carr Madan method

[Charles B. <cha...@gm...>]

Hi all,

While working on the implementation of the Carr Madan method for european
options I get an error due to the Fourier transform of the option price
(function psi) is not conforming i.e. it should be a scalar but my solution
is a vector.

The psi function stands for equation (6) on page 64 of the in the paper via
the below link

https://engineering.nyu.edu/sites/default/files/2018-08/CarrMadan2_0.pdf

So I am looking for suggestions of alternative implementation.

I included the files and data in github

https://github.com/kficso01/CGMY/issues/1

Any suggestions would be appreciated.

Thanks,

C