QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | Public Attributes | List of all members
VarianceSwap::arguments Class Reference

Arguments for forward fair-variance calculation More...

#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