QuantLib: a free/open-source library for quantitative finance
Reference manual - version 1.40
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VarianceSwap::arguments Class Reference

Arguments for forward fair-variance calculation More...

#include <ql/instruments/varianceswap.hpp>

Public Member Functions

void validate () const override

Public Attributes

Position::Type position
Real strike
Real notional
Date startDate
Date maturityDate

Detailed Description

Arguments for forward fair-variance calculation