replicatingvarianceswapengine (3) - Linux Manuals

replicatingvarianceswapengine: Replicating engine for variance swaps.

Command to display replicatingvarianceswapengine manual in Linux: $ man 3 replicatingvarianceswapengine

NAME

ql/pricingengines/forward/replicatingvarianceswapengine.hpp - Replicating engine for variance swaps.

SYNOPSIS

#include <ql/instruments/varianceswap.hpp>
#include <ql/instruments/europeanoption.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <ql/exercise.hpp>

Classes

class ReplicatingVarianceSwapEngine
Variance-swap pricing engine using replicating cost,.

Detailed Description

Replicating engine for variance swaps.

Author

Generated automatically by Doxygen for QuantLib from the source code.