text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
  Copyright (C) 2010 Adrian O' Neill
  
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
  
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
  
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
  
  /*! \file fftvariancegammaengine.hpp
      \brief \brief FFT engine for vanilla options under a Variance Gamma process
  */
  
  #ifndef quantlib_fft_variancegamma_engine_hpp
  #define quantlib_fft_variancegamma_engine_hpp
  
  #include <ql/experimental/variancegamma/fftengine.hpp>
  #include <ql/experimental/variancegamma/variancegammaprocess.hpp>
  
  namespace QuantLib {
  
      //! FFT engine for vanilla options under a Variance Gamma process
      /*! \ingroup vanillaengines
  
          \test the correctness of the returned values is tested by
          comparison with known good values and the analytic approach
      */
      class FFTVarianceGammaEngine : public FFTEngine {
      public:
          explicit FFTVarianceGammaEngine(
              const ext::shared_ptr<VarianceGammaProcess>&process,
              Real logStrikeSpacing = 0.001);
          std::unique_ptr<FFTEngine> clone() const override;
      protected:
          void precalculateExpiry(Date d) override;
          std::complex<Real> complexFourierTransform(std::complex<Real> u) const override;
          Real discountFactor(Date d) const override;
          Real dividendYield(Date d) const override;
  
      private:
          DiscountFactor dividendDiscount_;
          DiscountFactor riskFreeDiscount_;
          Time t_;
          Real sigma_;
          Real nu_;
          Real theta_;
      };
  
  }
  
  
  #endif
  
  