MakeMCVarianceSwapEngine< RNG, S > Class Template Reference

Monte Carlo variance-swap engine factory. More...

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

List of all members.

Public Member Functions

 MakeMCVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
MakeMCVarianceSwapEnginewithSteps (Size steps)
MakeMCVarianceSwapEnginewithStepsPerYear (Size steps)
MakeMCVarianceSwapEnginewithBrownianBridge (bool b=true)
MakeMCVarianceSwapEnginewithSamples (Size samples)
MakeMCVarianceSwapEnginewithAbsoluteTolerance (Real tolerance)
MakeMCVarianceSwapEnginewithMaxSamples (Size samples)
MakeMCVarianceSwapEnginewithSeed (BigNatural seed)
MakeMCVarianceSwapEnginewithAntitheticVariate (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.