replicatingvarianceswapengine.hpp File Reference

Replicating engine for variance swaps. More...

Include dependency graph for replicatingvarianceswapengine.hpp:

Classes

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

Namespaces

namespace  QuantLib
 

Detailed Description

Replicating engine for variance swaps.