QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Variance swap. More...
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/option.hpp>
#include <ql/position.hpp>
Go to the source code of this file.
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 |
Variance swap.
Definition in file varianceswap.hpp.