Variance Gamma models

Posted by Adrian O' Neill on
URL: http://quantlib.414.s1.nabble.com/Variance-Gamma-models-tp11683.html

Hi,
I was wondering if anyone had done any work in integrating Variance Gamma
models (such as CGMY) in to QuantLib yet, or if it was on the roadmap?  If
not, I understand I'd have to solve numerically using FFT - I know there was
a FFT engine going in to QL, but I wasn't sure if that was complete yet?

Regards,
Adrian



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