Closed AlessandroGnoatto closed 5 years ago
Allow for calibration of the Merton Model, introduce the Variance Gamma model in the Fourier Framework
Replace this line by any of { Bug Fix | Improvement | Feature | Documentation | Hot Fix | Refactoring }
There is a unit test that compares standard Fourier and FFT prices against externally computed values for validation.
Does the licenses files need update? NO
Are there breaking changes for older versions? NO
Does the change require additional documentation? Maybe Javadoc needs improvements.
What is this PR for?
Allow for calibration of the Merton Model, introduce the Variance Gamma model in the Fourier Framework
What type of PR is it?
Replace this line by any of { Bug Fix | Improvement | Feature | Documentation | Hot Fix | Refactoring }
Todos
What is the related issue?
How should this be tested?
There is a unit test that compares standard Fourier and FFT prices against externally computed values for validation.
Screenshots
Questions:
Does the licenses files need update? NO
Are there breaking changes for older versions? NO
Does the change require additional documentation? Maybe Javadoc needs improvements.