varianceoption (3) - Linux Manuals

varianceoption: Variance option.

NAME

ql/experimental/varianceoption/varianceoption.hpp - Variance option.

SYNOPSIS

#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/option.hpp>
#include <ql/position.hpp>

Classes

class VarianceOption
Variance option.
class arguments
Arguments for forward fair-variance calculation
class results
Results from variance-option calculation
class engine
base class for variance-option engines

Detailed Description

Variance option.

Author

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