- QuantLib
- MakeMCVarianceSwapEngine
Monte Carlo variance-swap engine factory. More...
#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 |
Monte Carlo variance-swap engine factory.