variance swap engine More...
#include <ql/quote.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/exercise.hpp>
#include <ql/index.hpp>
#include <ql/instruments/europeanoption.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <qle/instruments/varianceswap.hpp>
Classes | |
class | GeneralisedReplicatingVarianceSwapEngine |
class | GeneralisedReplicatingVarianceSwapEngine::VarSwapSettings |
variance swap engine