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replicatingvarianceswapengine.hpp
Langue: en
Version: 374744 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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
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