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.