ql/pricingengines/forward/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...

Detailed Description

Replicating engine for variance swaps.