QuantLib_VarianceSwap_arguments man page

VarianceSwap::arguments — Arguments for forward fair-variance calculation  

Synopsis

#include <ql/instruments/varianceswap.hpp>

Inherits PricingEngine::arguments.

Public Member Functions

void validate () const

Public Attributes

Position::Type position
Real strike
Real notional
Date startDate
Date maturityDate

Detailed Description

Arguments for forward fair-variance calculation

Author

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Info

Fri Jun 2 2017 Version 1.10 QuantLib