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forwardengines
Langue: en
Version: 377473 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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,.
Author
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