ReplicatingVarianceSwapEngine (3) Linux Manual Page

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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