QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
varianceswap.hpp File Reference

Variance swap. More...

#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/option.hpp>
#include <ql/position.hpp>

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Classes

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

Namespaces

namespace  QuantLib
 

Detailed Description

Variance swap.

Definition in file varianceswap.hpp.