MCVarianceSwapEngine (3) Linux Manual Page
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.