Replicating engine for variance swaps. More...
#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,. More... | |
Replicating engine for variance swaps.