QuantLib_MakeMCVarianceSwapEngine

Langue: en

Autres versions - même langue

Version: 379993 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

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 & withAbsoluteTolerance (Real tolerance)

MakeMCVarianceSwapEngine & withMaxSamples (Size samples)

MakeMCVarianceSwapEngine & withSeed (BigNatural seed)

MakeMCVarianceSwapEngine & withAntitheticVariate (bool b=true)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCVarianceSwapEngine< RNG, S >

Monte Carlo variance-swap engine factory.

Author

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