Monte Carlo variance-swap engine. More...
#include <ql/pricingengines/mcsimulation.hpp>#include <ql/math/integrals/segmentintegral.hpp>#include <ql/instruments/varianceswap.hpp>#include <ql/processes/blackscholesprocess.hpp>
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... | |
Monte Carlo variance-swap engine.