QuantLib_MakeMCVarianceSwapEngine man page

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

Synopsis

#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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

MakeMCVarianceSwapEngine(3) is an alias of QuantLib_MakeMCVarianceSwapEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib