Re: Variance Gamma implementation in Quantlib?

Posted by animesh on Jul 27, 2010; 1:04pm
URL: http://quantlib.414.s1.nabble.com/Variance-Gamma-implementation-in-Quantlib-tp7471p7473.html

It's simple to implement Gamma process, and VG Process can be easily written as difference of two independent gamma processes.

http://en.wikipedia.org/wiki/Variance_gamma_process

I have used Gamma process with notation Mu or Nu, Theta , and Sigma. The formulas are in CGM Notation (Carr Madan...)
If anyone is interested in Matlab....following code works.


rand(’state’,sum(100*clock));
randn(’state’,sum(100*clock));
Snul=100; T=1; r=0.04;
q=0.03; n=250; nu=0.10; sigma=0.2;
theta= -0.15 omega=log(1-sigma^2*nu/2-theta*nu)/nu;
C=1/nu;
G=(sqrt(theta^2*nu^2/4+sigma^2*nu/2)-theta*nu/2)^(-1);
M=(sqrt(theta^2*nu^2/4+sigma^2*nu/2)+theta*nu/2)^(-1);
dt=T/n;
tt=[0:dt:T];
S(1)=Snul;
vg(1)=0;
for s = 1:n
g1= gamrnd(dt*C,1/M);
g2= gamrnd(dt*C,1/G);
vg(s+1) = vg(s) + g1-g2;
S(s+1) = Snul*exp((r-q+omega)*tt(s+1)+vg(s+1));
end;

On 7/27/10 6:13 PM, james hirschorn wrote:

There is some implementation of Variance Gamma in "ql/experimental/variancegamma". I haven't had a chance to try it myself yet.

James

---

From: piers august [hidden email]
To: [hidden email]
Sent: Tue, July 27, 2010 6:50:15 AM
Subject: [Quantlib-users] Variance Gamma implementation in Quantlib?

Hi All,

Is there such for vanilla options in the Quantlib or plans to add it at anytime if not?

I'm aware of this:
http://www.amazon.com/Option-Pricing-Under-Variance-Process/dp/3639188799

thanks
Piers

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