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)
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

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Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MakeMCVarianceSwapEngine< RNG, S >

Monte Carlo variance-swap engine factory.