varianceswapgeneralreplicationengine.cpp File Reference

equity variance swap engine More...

#include <qle/pricingengines/varianceswapgeneralreplicationengine.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/daycounters/actualactual.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <iostream>

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Namespaces
namespace	QuantExt

Detailed Description

equity variance swap engine

Definition in file varianceswapgeneralreplicationengine.cpp.