QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Classes | |
class | AnalyticHestonForwardEuropeanEngine |
Analytic Heston engine incl. stochastic interest rates. More... | |
class | IntegralHestonVarianceOptionEngine |
integral Heston-model variance-option engine More... | |
class | ForwardVanillaEngine< Engine > |
Forward engine for vanilla options More... | |
class | ForwardPerformanceVanillaEngine< Engine > |
Forward performance engine for vanilla options More... | |
class | MCForwardEuropeanBSEngine< RNG, S > |
class | MCForwardEuropeanHestonEngine< RNG, S, P > |
class | MCForwardVanillaEngine< MC, RNG, S > |
Monte Carlo engine for forward-starting vanilla options. More... | |
class | MCVarianceSwapEngine< RNG, S > |
Variance-swap pricing engine using Monte Carlo simulation,. More... | |
class | ReplicatingVarianceSwapEngine |
Variance-swap pricing engine using replicating cost,. More... | |