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...