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QuantLib_MakeMCVarianceSwapEngine
Langue: en
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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