quantlib.instruments.variance_swap.VarianceSwap¶

class VarianceSwap(SwapType position, Real strike, Real notional, Date start_date, Date maturity_date)¶

Variance swap warning This class does not manage seasoned variance swaps. ingroup instruments

position¶

strik¶

notional¶

start_date¶

maturity_date¶

Methods

`__init__`(args, *kwargs)
`set_pricing_engine`(self, PricingEngine engine)	Sets the pricing engine.

Attributes

`is_expired`
`maturity_date`
`net_present_value`	Instrument net present value.
`notional`
`npv`	Shortcut to the net_present_value property.
`position`
`start_date`
`strike`
`valuation_date`
`variance`

Quantlib cython wrapper