mcvarianceswapengine.hpp File Reference

Monte Carlo variance-swap engine. More...

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...
 

Namespaces

 QuantLib
 

Detailed Description

Monte Carlo variance-swap engine.