/* -*- 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 variancegammamodel.hpp

    \brief Variance Gamma model

*/

#ifndef quantlib_variance_gamma_model_hpp

#define quantlib_variance_gamma_model_hpp

#include <ql/models/model.hpp>

#include <ql/experimental/variancegamma/variancegammaprocess.hpp>

namespace QuantLib {

    //! Variance Gamma model

    /*! References:

        Dilip B. Madan, Peter Carr, Eric C. Chang (1998)

        "The variance gamma process and option pricing,"

        European Finance Review, 2, 79-105

        \warning calibration is not implemented for VG

    */

    class VarianceGammaModel : public CalibratedModel {

      public:

        explicit VarianceGammaModel(

                      const ext::shared_ptr<VarianceGammaProcess>& process);

        // sigma

        Real sigma() const { return arguments_[0](0.0); }

        // nu

        Real nu() const { return arguments_[1](0.0); }

        // theta

        Real theta() const { return arguments_[2](0.0); }

        // underlying process

        ext::shared_ptr<VarianceGammaProcess> process() const { return process_; }

    protected:

      void generateArguments() override;

      ext::shared_ptr<VarianceGammaProcess> process_;

    };

}

#endif