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varianceoption.hpp
Langue: en
Version: 382423 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/experimental/varianceoption/varianceoption.hpp -Variance option.
SYNOPSIS
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/option.hpp>
#include <ql/position.hpp>
Classes
class VarianceOption
Variance option.
class VarianceOption::arguments
Arguments for forward fair-variance calculation
class VarianceOption::results
Results from variance-option calculation
class VarianceOption::engine
base class for variance-option engines
Detailed Description
Variance option.
Author
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