### A free/open-source library for quantitative finance

Classes
Forward option engines
Pricing engines

## 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...