ql/pricingengines/forward/replicatingvarianceswapengine.hpp File Reference


Detailed Description

Replicating engine for variance swaps.

#include <ql/instruments/varianceswap.hpp>
#include <ql/instruments/europeanoption.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>

Include dependency graph for replicatingvarianceswapengine.hpp:


Namespaces

namespace  QuantLib

Classes

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