forwardengines (3) - Linux Man Pages

NAME

Forward option engines -

Classes


class IntegralHestonVarianceOptionEngine
integral Heston-model variance-option engine
class ForwardVanillaEngine< Engine >
Forward engine for vanilla options
class ForwardPerformanceVanillaEngine< Engine >
Forward performance engine for vanilla options
class MCVarianceSwapEngine< RNG, S >
Variance-swap pricing engine using Monte Carlo simulation,.
class ReplicatingVarianceSwapEngine
Variance-swap pricing engine using replicating cost,.

Detailed Description

Author

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