MakeMCVarianceSwapEngine (3) Linux Manual Page
QuantLib::MakeMCVarianceSwapEngine – Monte Carlo variance-swap engine factory.
Synopsis
#include <ql/pricingengines/forward/mcvarianceswapengine.hpp>Public Member Functions
MakeMCVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)MakeMCVarianceSwapEngine & withSteps (Size steps)
MakeMCVarianceSwapEngine & withStepsPerYear (Size steps)
MakeMCVarianceSwapEngine & withBrownianBridge (bool b=true)
MakeMCVarianceSwapEngine & withSamples (Size samples)
MakeMCVarianceSwapEngine & withTolerance (Real tolerance)
MakeMCVarianceSwapEngine & withMaxSamples (Size samples)
MakeMCVarianceSwapEngine & withSeed (BigNatural seed)
MakeMCVarianceSwapEngine & withAntitheticVariate (bool b=true)
operator boost::shared_ptr< PricingEngine > () const