Variance swap. More...
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/option.hpp>
#include <ql/position.hpp>
Classes | |
class | VarianceSwap |
Variance swap. More... | |
class | VarianceSwap::arguments |
Arguments for forward fair-variance calculation More... | |
class | VarianceSwap::results |
Results from variance-swap calculation More... | |
class | VarianceSwap::engine |
base class for variance-swap engines More... | |
Namespaces | |
namespace | QuantLib |
Variance swap.