VarianceSwap Class Reference
[Financial instruments]
Variance swap.
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#include <ql/instruments/varianceswap.hpp>
Inheritance diagram for VarianceSwap:

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_ |
Detailed Description
Variance swap.
- Warning:
- This class does not manage seasoned variance swaps.
Member Function Documentation
| 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.