[Quantlib-dev] [ quantlib-Patches-1510294 ] Variance swap

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Patches item #1510294, was opened at 2006-06-21 17:41
Message generated for change (Settings changed) made by warrenchou
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Warren Chou (warrenchou)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Variance swap

Initial Comment:
Base and vanilla variance swap classes

Monte Carlo and replicating-cost variance swap engine 
classes

Monte Carlo engines checked for consistency with 
implied vol curve; replicating-cost engine checked 
against Derman, et al

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You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1510294&group_id=12740