CGMYMartingaleCharacteristicExponent.java

/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.model.option.pricing.fourier;

/**
 * This class represents the characteristic function of the
 * Carr-Madan-Geman-Yor (CGMY) process, but drift corrected to be an
 * exponential Martingale.  This process is a pure jump process (i.e.  there is
 * no Brownian component).
 * <p>
 * The characteristic function is given by:
 * $$
 * \begin{align*}
 * \phi(u; C, G, M, Y) = \exp\left(C \Gamma(-Y)\left[(M - iu)^Y - M^Y + (G + iu)^Y - G^Y\right]\right)
 * \end{align*}
 * $$
 */
public class CGMYMartingaleCharacteristicExponent extends MeanCorrection {


  public CGMYMartingaleCharacteristicExponent(final double c, final double g, final double m, final double y) {
    super(new CGMYCharacteristicExponent(c, g, m, y));
  }

}