- QuantLib
- VarianceSwap
Variance swap. More...
#include <ql/instruments/varianceswap.hpp>
Classes | |
class | arguments |
Arguments for forward fair-variance calculation More... | |
class | engine |
base class for variance-swap engines More... | |
class | results |
Results from variance-swap calculation More... | |
Public Member Functions | |
VarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate) | |
void | setupArguments (PricingEngine::arguments *args) const |
void | fetchResults (const PricingEngine::results *) const |
Instrument interface | |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
Additional interface | |
Real | strike () const |
Position::Type | position () const |
Date | startDate () const |
Date | maturityDate () const |
Real | notional () const |
Real | variance () const |
Protected Member Functions | |
void | setupExpired () const |
Protected Attributes | |
Position::Type | position_ |
Real | strike_ |
Real | notional_ |
Date | startDate_ |
Date | maturityDate_ |
Real | variance_ |
Variance swap.
void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
void fetchResults | ( | const PricingEngine::results * | r | ) | const [virtual] |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
void setupExpired | ( | ) | const [protected, virtual] |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.