varianceswapgeneralreplicationengine.hpp File Reference

variance swap engine More...

#include <ql/quote.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/exercise.hpp>
#include <ql/index.hpp>
#include <ql/instruments/europeanoption.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <qle/instruments/varianceswap.hpp>

Go to the source code of this file.

Classes
class	GeneralisedReplicatingVarianceSwapEngine
class	GeneralisedReplicatingVarianceSwapEngine::VarSwapSettings

Namespaces
namespace	QuantExt

Detailed Description

variance swap engine

Definition in file varianceswapgeneralreplicationengine.hpp.