ql/pricingengines/forward/mcvarianceswapengine.hpp File Reference
Detailed Description
Monte Carlo variance-swap engine.
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/math/integrals/segmentintegral.hpp>
#include <ql/instruments/varianceswap.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Include dependency graph for mcvarianceswapengine.hpp:

Namespaces | |
| namespace | QuantLib |
| namespace | QuantLib::detail |
Classes | |
| class | MCVarianceSwapEngine |
| Variance-swap pricing engine using Monte Carlo simulation,. More... | |
| class | MakeMCVarianceSwapEngine |
| Monte Carlo variance-swap engine factory. More... | |