Class ClaimFourierTransform

Inheritance Relationships

Base Type

Class Documentation

class ClaimFourierTransform : public otyca::FourierTransform

Fourier transform of call put or covered call.

Public Functions

inline ClaimFourierTransform(double alpha)
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.

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.

virtual void dampen_factor(const arma::colvec&, arma::colvec&)
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).