pairwisevarianceswapengine.cpp File Reference

pairwise variance swap engine More...

#include <qle/pricingengines/pairwisevarianceswapengine.hpp>
#include <qle/indexes/equityindex.hpp>
#include <ql/indexes/indexmanager.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/math/integrals/segmentintegral.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <iostream>

Go to the source code of this file.

Namespaces
namespace	QuantExt

Detailed Description

pairwise variance swap engine

Definition in file pairwisevarianceswapengine.cpp.