mcvarianceswapengine.hpp

Langue: en

Autres versions - même langue

Version: 384079 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

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.

Detailed Description

Monte Carlo variance-swap engine.

Author

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