mcvarianceswapengine.hpp File Reference

Monte Carlo variance-swap engine. More...

#include <ql/instruments/varianceswap.hpp>
#include <ql/math/integrals/segmentintegral.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>

Go to the source code of this file.

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...
class	VariancePathPricer
class	Integrand

Namespaces
namespace	QuantLib
namespace	QuantLib::detail

Detailed Description

Monte Carlo variance-swap engine.

Definition in file mcvarianceswapengine.hpp.