ql/pricingengines/forward/replicatingvarianceswapengine.hpp File Reference

Replicating engine for variance swaps. More...

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

Include dependency graph for replicatingvarianceswapengine.hpp:


Classes

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

Detailed Description

Replicating engine for variance swaps.