quantmetrics.price_calculators.vg_pricing.vg_characteristic_function.VGCharacteristicFunction

class quantmetrics.price_calculators.vg_pricing.vg_characteristic_function.VGCharacteristicFunction(model: LevyModel, option: Option)[source]

__init__(model: LevyModel, option: Option)[source]

Initialize the VGCharacteristicFunction with a model and an option.

Parameters

modelLevyModel: The Levy model used for calculating the characteristic function.
optionOption: The option parameters including interest rate, volatility, etc.

Methods

`__init__`(model, option)	Initialize the VGCharacteristicFunction with a model and an option.
`calculate`(u)	Calculate the characteristic function for the given model.