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replicatingvarianceswapengine.hpp File Reference


Detailed Description

Replicating engine for variance swaps.

Definition in file replicatingvarianceswapengine.hpp.

#include <ql/Instruments/varianceswap.hpp>
#include <ql/Instruments/europeanoption.hpp>
#include <ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::ReplicatingVarianceSwapEngine
 Variance-swap pricing engine using replicating cost,. More...


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