MakeMCVarianceSwapEngine Class Template Reference

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

List of all members.


Detailed Description

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

Monte Carlo variance-swap engine factory.


Public Member Functions

MakeMCVarianceSwapEnginewithSteps (Size steps)
MakeMCVarianceSwapEnginewithStepsPerYear (Size steps)
MakeMCVarianceSwapEnginewithBrownianBridge (bool b=true)
MakeMCVarianceSwapEnginewithSamples (Size samples)
MakeMCVarianceSwapEnginewithTolerance (Real tolerance)
MakeMCVarianceSwapEnginewithMaxSamples (Size samples)
MakeMCVarianceSwapEnginewithSeed (BigNatural seed)
MakeMCVarianceSwapEnginewithAntitheticVariate (bool b=true)
 operator boost::shared_ptr () const