QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Monte Carlo variance-swap engine. More...
#include <ql/instruments/varianceswap.hpp>
#include <ql/math/integrals/segmentintegral.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | MCVarianceSwapEngine< RNG, S > |
Variance-swap pricing engine using Monte Carlo simulation,. More... | |
class | MakeMCVarianceSwapEngine< RNG, S > |
Monte Carlo variance-swap engine factory. More... | |
class | VariancePathPricer |
class | Integrand |
Namespaces | |
namespace | QuantLib |
namespace | QuantLib::detail |
Monte Carlo variance-swap engine.
Definition in file mcvarianceswapengine.hpp.