QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
mcvarianceswapengine.hpp File Reference

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
 

Detailed Description

Monte Carlo variance-swap engine.

Definition in file mcvarianceswapengine.hpp.