ql/pricingengines/forward/mcvarianceswapengine.hpp File Reference

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>
Include dependency graph for mcvarianceswapengine.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...

Detailed Description

Monte Carlo variance-swap engine.