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.