VarianceSwap (3) Linux Manual Page

ql/instruments/varianceswap.hpp – Variance swap.

Synopsis

#include <ql/processes/blackscholesprocess.hpp>

#include <ql/instruments/payoffs.hpp>

#include <ql/option.hpp>

#include <ql/position.hpp>

Classes

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

Detailed Description

Variance swap.

Author

Generated automatically by Doxygen for QuantLib from the source code.