varianceswap (3) - Linux Manuals

varianceswap: Variance swap.

NAME

ql/instruments/varianceswap.hpp - Variance swap.

SYNOPSIS

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

Classes

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

Detailed Description

Variance swap.

Author

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