QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes
Forward option engines

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...
 

Detailed Description