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| MCVarianceSwapEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) |
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void | calculate () const |
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PricingEngine::arguments * | getArguments () const |
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const PricingEngine::results * | getResults () const |
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void | reset () |
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void | update () |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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void | notifyObservers () |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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virtual void | deepUpdate () |
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result_type | value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const |
| add samples until the required absolute tolerance is reached
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result_type | valueWithSamples (Size samples) const |
| simulate a fixed number of samples
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result_type | errorEstimate () const |
| error estimated using the samples simulated so far
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const stats_type & | sampleAccumulator () const |
| access to the sample accumulator for richer statistics
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void | calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const |
| basic calculate method provided to inherited pricing engines
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template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCVarianceSwapEngine< RNG, S >
Variance-swap pricing engine using Monte Carlo simulation,.
as described in Demeterfi, Derman, Kamal & Zou, "A Guide to Volatility and Variance Swaps", 1999
- Tests:
- returned fair variances checked for consistency with implied volatility curve.