Variance swap. More...
#include <qle/instruments/varianceswap.hpp>
Classes | |
class | arguments |
Arguments for forward fair-variance calculation More... | |
class | engine |
base class for variance-swap engines More... | |
class | results |
Results from variance-swap calculation More... | |
Public Member Functions | |
VarianceSwap2 (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate, const Calendar &calendar, bool addPastDividends) | |
Additional interface | |
Calendar | calendar_ |
bool | addPastDividends_ |
Calendar | calendar () const |
bool | addPastDividends () const |
void | setupArguments (PricingEngine::arguments *args) const override |
Variance swap.