replicatingvarianceswapengine.hpp File Reference

Replicating engine for variance swaps. More...

#include <ql/exercise.hpp>
#include <ql/instruments/europeanoption.hpp>
#include <ql/instruments/varianceswap.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	ReplicatingVarianceSwapEngine
	Variance-swap pricing engine using replicating cost,. More...

Namespaces
namespace	QuantLib

Detailed Description

Replicating engine for variance swaps.

Definition in file replicatingvarianceswapengine.hpp.