replicatingvarianceswapengine (3) - Linux Man Pages

replicatingvarianceswapengine: Replicating engine for variance swaps.

NAME

ql/pricingengines/forward/replicatingvarianceswapengine.hpp - Replicating engine for variance swaps.

SYNOPSIS


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

Classes


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

Detailed Description

Replicating engine for variance swaps.

Author

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