GeneralisedReplicatingVarianceSwapEngine::VarSwapSettings Class Reference

Public Types
enum class	Scheme { GaussLobatto , Segment }
enum class	Bounds { Fixed , PriceThreshold }

Public Attributes
Scheme	scheme = Scheme::GaussLobatto
Bounds	bounds = Bounds::PriceThreshold
Real	accuracy = 1E-5
Size	maxIterations = 1000
Size	steps = 100
Real	priceThreshold = 1E-10
Size	maxPriceThresholdSteps = 100
Real	priceThresholdStep = 0.1
Real	fixedMinStdDevs = -5.0
Real	fixedMaxStdDevs = 5.0