QuantLib_MakeMCVarianceSwapEngine man page

MakeMCVarianceSwapEngine< RNG, S > — Monte Carlo variance-swap engine factory.  


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

Public Member Functions

MakeMCVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
MakeMCVarianceSwapEngine & withSteps (Size steps)
MakeMCVarianceSwapEngine & withStepsPerYear (Size steps)
MakeMCVarianceSwapEngine & withBrownianBridge (bool b=true)
MakeMCVarianceSwapEngine & withSamples (Size samples)
MakeMCVarianceSwapEngine & withAbsoluteTolerance (Real tolerance)
MakeMCVarianceSwapEngine & withMaxSamples (Size samples)
MakeMCVarianceSwapEngine & withSeed (BigNatural seed)
MakeMCVarianceSwapEngine & withAntitheticVariate (bool b=true)
operator boost::shared_ptr< PricingEngine > () const

Detailed Description

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

class QuantLib::MakeMCVarianceSwapEngine< RNG, S >" Monte Carlo variance-swap engine factory.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MakeMCVarianceSwapEngine(3) is an alias of QuantLib_MakeMCVarianceSwapEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib