QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
MakeMCVarianceSwapEngine< RNG, S > Class Template Reference

Monte Carlo variance-swap engine factory. More...

#include <ql/pricingengines/forward/mcvarianceswapengine.hpp>

Public Member Functions

 MakeMCVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
 
MakeMCVarianceSwapEnginewithSteps (Size steps)
 
MakeMCVarianceSwapEnginewithStepsPerYear (Size steps)
 
MakeMCVarianceSwapEnginewithBrownianBridge (bool b=true)
 
MakeMCVarianceSwapEnginewithSamples (Size samples)
 
MakeMCVarianceSwapEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCVarianceSwapEnginewithMaxSamples (Size samples)
 
MakeMCVarianceSwapEnginewithSeed (BigNatural seed)
 
MakeMCVarianceSwapEnginewithAntitheticVariate (bool b=true)
 
 operator boost::shared_ptr< PricingEngine > () const
 

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MakeMCVarianceSwapEngine< RNG, S >

Monte Carlo variance-swap engine factory.