/**
* 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));
}
}