quantlib.instruments.variance_swap.

VarianceSwap

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

Bases: Instrument

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

Attributes:

positionSwapType

strikReal

notionalReal

start_dateDate

maturity_dateDate

Methods

set_pricing_engine(self, PricingEngine engine)

Sets the pricing engine.