ql/instruments/varianceswap.hpp File Reference
Detailed Description
Variance swap.
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/option.hpp>
#include <ql/position.hpp>
Include dependency graph for varianceswap.hpp:

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