There are a few examples of variance swaps in test-suite/varianceswap.cpp.
Volatility swaps are not implemented.
Luigi
On Wed, Aug 22, 2012 at 6:42 AM, aimz <
[hidden email]> wrote:
>
> Does anyone have an example code for calculating VarianceSwap and/or
> VolatilitySwaps using quantlib? If so much appreciate sending it to me.
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