replicatingvarianceswapengine.hpp

Langue: en

Autres versions - même langue

Version: 374744 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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