QuantLib_VarianceSwap_engine man page

VarianceSwap::engine — base class for variance-swap engines  

Synopsis

#include <ql/instruments/varianceswap.hpp>

Inherits GenericEngine< VarianceSwap::arguments, VarianceSwap::results >.

Inherited by MCVarianceSwapEngine< RNG, S >, and ReplicatingVarianceSwapEngine.

Additional Inherited Members

Detailed Description

base class for variance-swap engines

Author

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Info

Fri Feb 10 2017 Version 1.9.1 QuantLib