volatilityfromvarianceswapengine.hpp

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/*
  Copyright (C) 2019 Quaternion Risk Management Ltd
  All rights reserved.
 
  This file is part of ORE, a free-software/open-source library
  for transparent pricing and risk analysis - http://opensourcerisk.org
  
  ORE is free software: you can redistribute it and/or modify it
  under the terms of the Modified BSD License.  You should have received a
  copy of the license along with this program.
  The license is also available online at <http://opensourcerisk.org>
  
  This program is distributed on the basis that it will form a useful
  contribution to risk analytics and model standardisation, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
  FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file qle/pricingengines/volatilityfromvarianceswapengine.hpp
    \brief volatility swap engine
    \ingroup engines
*/
 
#ifndef quantext_volatility_from_variance_swap_engine_hpp
#define quantext_volatility_from_variance_swap_engine_hpp
 
#include <qle/pricingengines/varianceswapgeneralreplicationengine.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
class VolatilityFromVarianceSwapEngine : public GeneralisedReplicatingVarianceSwapEngine {
 
public:
    using GeneralisedReplicatingVarianceSwapEngine::GeneralisedReplicatingVarianceSwapEngine;
    void calculate() const override;
};
 
} // namespace QuantExt
 
#endif