QuantLib_VarianceSwap_arguments (3) Linux Manual Page

QuantLib::VarianceSwap::arguments – Arguments for forward fair-variance calculation

Synopsis

#include <ql/instruments/varianceswap.hpp>

Inherits QuantLib::PricingEngine::arguments.

Public Member Functions

void validate () const

Public Attributes

Position::Type position

Real strike

Real notional

Date startDate

Date maturityDate

Detailed Description

Arguments for forward fair-variance calculation

Author

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