A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
|
Classes | |
| class | IntegralHestonVarianceOptionEngine |
| integral Heston-model variance-option engine More... | |
| class | ForwardVanillaEngine< Engine > |
| Forward engine for vanilla options More... | |
| class | ForwardPerformanceVanillaEngine< Engine > |
| Forward performance engine for vanilla options More... | |
| class | MCVarianceSwapEngine< RNG, S > |
| Variance-swap pricing engine using Monte Carlo simulation,. More... | |
| class | ReplicatingVarianceSwapEngine |
| Variance-swap pricing engine using replicating cost,. More... | |