quantlib.pricingengines.forward.replicating_variance_swap_engine¶
Classes
Variance-swap pricing engine using replicating cost, as described in Demeterfi, Derman, Kamal & Zou, "A Guide to Volatility and Variance Swaps", 1999 |
Classes
Variance-swap pricing engine using replicating cost, as described in Demeterfi, Derman, Kamal & Zou, "A Guide to Volatility and Variance Swaps", 1999 |