varianceswap.hpp File Reference
Variance swap. More...
#include <ql/processes/blackscholesprocess.hpp>#include <ql/instruments/payoffs.hpp>#include <ql/option.hpp>#include <ql/position.hpp>
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Classes | |
| 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... | |
| class | QuantLib::VarianceSwap |
| Variance swap. More... | |
Namespaces | |
| namespace | QuantLib |
Detailed Description
Variance swap.
Definition in file varianceswap.hpp.