varianceswap.hpp

Langue: en

Autres versions - même langue

Version: 380578 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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