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varianceswap.hpp
Langue: en
Version: 380578 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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 VarianceSwap::arguments
Arguments for forward fair-variance calculation
class VarianceSwap::results
Results from variance-swap calculation
class VarianceSwap::engine
base class for variance-swap engines
Detailed Description
Variance swap.
Author
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