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mcvarianceswapengine.hpp File Reference

Detailed Description

Monte Carlo variance-swap engine.

Definition in file mcvarianceswapengine.hpp.

#include <ql/PricingEngines/mcsimulation.hpp>
#include <ql/Math/segmentintegral.hpp>
#include <ql/Instruments/varianceswap.hpp>
#include <ql/Processes/blackscholesprocess.hpp>

Go to the source code of this file.


namespace  QuantLib
namespace  QuantLib::detail


class  QuantLib::FairVariancePathPricer
class  QuantLib::detail::Integrand
class  QuantLib::MakeMCVarianceSwapEngine< RNG, S >
 Monte Carlo variance-swap engine factory. More...
class  QuantLib::MCVarianceSwapEngine< RNG, S >
 Variance-swap pricing engine using Monte Carlo simulation,. More...

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