QuantLib_MCVarianceSwapEngine man page

MCVarianceSwapEngine< RNG, S > — Variance-swap pricing engine using Monte Carlo simulation,.  

Synopsis

#include <ql/pricingengines/forward/mcvarianceswapengine.hpp>

Inherits VarianceSwap::engine, and McSimulation< SingleVariate, RNG, S >.

Public Types

typedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type
typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type
typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type

Public Member Functions

MCVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void calculate () const

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const
TimeGrid timeGrid () const
boost::shared_ptr< path_generator_type > pathGenerator () const

Protected Attributes

boost::shared_ptr< GeneralizedBlackScholesProcess > process_
Size timeSteps_
Size timeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_

Additional Inherited Members

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>

class QuantLib::MCVarianceSwapEngine< RNG, S >" Variance-swap pricing engine using Monte Carlo simulation,.

as described in Demeterfi, Derman, Kamal & Zou, 'A Guide to Volatility and Variance Swaps', 1999

Tests

returned fair variances checked for consistency with implied volatility curve.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MCVarianceSwapEngine(3) is an alias of QuantLib_MCVarianceSwapEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib