MCVarianceSwapEngine (3) Linux Manual Page
NAME
ql/pricingengines/forward/mcvarianceswapengine.hpp – Monte Carlo variance-swap engine.
SYNOPSIS
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/math/integrals/segmentintegral.hpp>
#include <ql/instruments/varianceswap.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes
class MCVarianceSwapEngine< RNG, S >
Variance-swap pricing engine using Monte Carlo simulation,.
class MakeMCVarianceSwapEngine< RNG, S >
Monte Carlo variance-swap engine factory.
Detailed Description
Monte Carlo variance-swap engine.
Author
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