forwardengines man page

forwardengines — Forward option engines

Classes

class IntegralHestonVarianceOptionEngine
integral Heston-model variance-option engine
class ForwardVanillaEngine< Engine >
Forward engine for vanilla options
class ForwardPerformanceVanillaEngine< Engine >
Forward performance engine for vanilla options
class MCVarianceSwapEngine< RNG, S >
Variance-swap pricing engine using Monte Carlo simulation,.
class ReplicatingVarianceSwapEngine
Variance-swap pricing engine using replicating cost,.

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib