Variance swap. More...

#include <qle/instruments/varianceswap.hpp>

Inheritance diagram for VarianceSwap2:

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

Detailed Description

Variance swap.

Classes