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...