Forward option engines
[Pricing engines]
Detailed Description
Classes | |
class | ForwardVanillaEngine |
Forward engine for vanilla options More... | |
class | ForwardPerformanceVanillaEngine |
Forward performance engine for vanilla options More... | |
class | MCVarianceSwapEngine |
Variance-swap pricing engine using Monte Carlo simulation,. More... | |
class | ReplicatingVarianceSwapEngine |
Variance-swap pricing engine using replicating cost,. More... |