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Sourcecode: quantlib version File versions

varianceswap.hpp File Reference


Detailed Description

Variance swap.

Definition in file varianceswap.hpp.

#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/option.hpp>
#include <ql/position.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::VarianceSwap
 Variance swap. More...
class  QuantLib::VarianceSwap::arguments
 Arguments for forward fair-variance calculation More...
class  QuantLib::VarianceSwap::engine
 base class for variance-swap engines More...
class  QuantLib::VarianceSwap::results
 Results from variance-swap calculation More...


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