Class ClaimFourierTransform
Defined in File fourier_transform_pricer.hpp
Inheritance Relationships
Base Type
public otyca::FourierTransform
(Class FourierTransform)
Class Documentation
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class ClaimFourierTransform : public otyca::FourierTransform
Fourier transform of call put or covered call.
Public Functions
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inline ClaimFourierTransform(double alpha)
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virtual void integrand(const StochasticProcess*, const arma::cx_colvec &u, const arma::rowvec &t, arma::cx_mat &psi)
Compute the Fourier integrand for option pricing.
- Parameters:
process – Pointer to the underlying stochastic process.
u – Complex vector in Fourier transform.
t – Row vector of times to maturity.
psi – Output complex matrix to store the computed integrand values.
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virtual void integrand_derivatives(const StochasticProcess*, const arma::cx_colvec &u, const arma::rowvec &t, std::vector<arma::cx_mat> &psi)
Compute the derivatives of the Fourier integrand.
- Parameters:
process – Pointer to the underlying stochastic process.
u – Complex vector in Fourier transform.
t – Row vector of times to maturity.
psi – Output vector of complex matrices for storing derivatives.
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virtual void dampen_factor(const arma::colvec&, arma::colvec&)
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inline virtual ClaimType claim_type()
Get the type of option claim handled by the transform.
- Returns:
The claim type (e.g., call, put, covered call, or time value).
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inline ClaimFourierTransform(double alpha)