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... | |
Variance swap.