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<title>QuantLib: MCVarianceSwapEngine Class Template Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_m_c_variance_swap_engine.html">MCVarianceSwapEngine</a></div>
<h1>MCVarianceSwapEngine Class Template Reference<br>
<small>
[<a class="el" href="group__forwardengines.html">Forward option engines</a>]</small>
</h1><!-- doxytag: class="QuantLib::MCVarianceSwapEngine" --><!-- doxytag: inherits="QuantLib::VarianceSwap::engine,QuantLib::McSimulation" --><code>#include <ql/pricingengines/forward/mcvarianceswapengine.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for MCVarianceSwapEngine:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_m_c_variance_swap_engine__inherit__graph.png" border="0" usemap="#_m_c_variance_swap_engine__inherit__map" alt="Inheritance graph"></center>
<map name="_m_c_variance_swap_engine__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_variance_swap_1_1engine.html" title="base class for variance-swap engines" alt="" coords="5,7,69,33"><area shape="rect" href="class_quant_lib_1_1_mc_simulation.html" title="base class for Monte Carlo engines" alt="" coords="93,7,496,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_m_c_variance_swap_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class RNG = PseudoRandom, class S = Statistics><br>
class QuantLib::MCVarianceSwapEngine< RNG, S ></h3>
Variance-swap pricing engine using Monte Carlo simulation,.
<p>
as described in Demeterfi, Derman, Kamal & Zou, "A Guide to Volatility and Variance Swaps", 1999<p>
<dl compact><dt><b><a class="el" href="todo.html#_todo000040">Possible enhancements:</a></b></dt><dd>define tolerance of numerical integral and incorporate it in errorEstimate</dd></dl>
<dl compact><dt><b><a class="el" href="test.html#_test000087">Tests:</a></b></dt><dd>returned fair variances checked for consistency with implied volatility curve. </dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e4570ee9c204c900236c2894b387272"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::path_generator_type" ref="0e4570ee9c204c900236c2894b387272" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a><br>
< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a>, RNG, S ><br>
::path_generator_type </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c66a3645a3daa15dae3801668ccdd6f3"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::path_pricer_type" ref="c66a3645a3daa15dae3801668ccdd6f3" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a><br>
< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a>, RNG, S ><br>
::path_pricer_type </td><td class="memItemRight" valign="bottom"><b>path_pricer_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6488ee71b6b0a73fd160f892bba6cdbf"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::stats_type" ref="6488ee71b6b0a73fd160f892bba6cdbf" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a><br>
< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a>, RNG, S ><br>
::stats_type </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a070d9fefe22646927ce86ddbf53a7f5"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::MCVarianceSwapEngine" ref="a070d9fefe22646927ce86ddbf53a7f5" args="(Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)" -->
</td><td class="memItemRight" valign="bottom"><b>MCVarianceSwapEngine</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeStepsPerYear, bool brownianBridge, bool antitheticVariate, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> requiredSamples, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> requiredTolerance, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples, <a class="el" href="namespace_quant_lib.html#e3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> seed)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::calculate" ref="10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5bc86dec252045f49aab9a403ef6b15f"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::pathPricer" ref="5bc86dec252045f49aab9a403ef6b15f" args="() const " -->
boost::shared_ptr<br>
< path_pricer_type > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac0bc663d50bdc0fd6771bb1ad2481e5"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::timeGrid" ref="ac0bc663d50bdc0fd6771bb1ad2481e5" args="() const " -->
<a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7751aec86337c68f4b4ee807247f5648"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::pathGenerator" ref="7751aec86337c68f4b4ee807247f5648" args="() const " -->
boost::shared_ptr<br>
< path_generator_type > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="02b035f6fcde4fb3cc9964c0518964ae"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::timeSteps_" ref="02b035f6fcde4fb3cc9964c0518964ae" args="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9c25c7000e01433677e04eae138ff831"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::timeStepsPerYear_" ref="9c25c7000e01433677e04eae138ff831" args="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeStepsPerYear_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="937ea3e2dae694ac2df5226b1b349b22"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::requiredSamples_" ref="937ea3e2dae694ac2df5226b1b349b22" args="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>requiredSamples_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e92c9f4ec24db42ea6eceb5919e9dea5"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::maxSamples_" ref="e92c9f4ec24db42ea6eceb5919e9dea5" args="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>maxSamples_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a336fe20be7a7fe0b17df1565bbc2f1a"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::requiredTolerance_" ref="a336fe20be7a7fe0b17df1565bbc2f1a" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>requiredTolerance_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="237ba632601944316deef578c245e825"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::brownianBridge_" ref="237ba632601944316deef578c245e825" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>brownianBridge_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="654936ea7a7e268c1d02b452e80c7fdb"></a><!-- doxytag: member="QuantLib::MCVarianceSwapEngine::seed_" ref="654936ea7a7e268c1d02b452e80c7fdb" args="" -->
<a class="el" href="namespace_quant_lib.html#e3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> </td><td class="memItemRight" valign="bottom"><b>seed_</b></td></tr>
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