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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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... | |
