QuantLib_VarianceOption man page

VarianceOption — Variance option.

Synopsis

#include <ql/experimental/varianceoption/varianceoption.hpp>

Inherits Instrument.

Classes

class arguments
Arguments for forward fair-variance calculation
class engine
base class for variance-option engines
class results
Results from variance-option calculation

Public Member Functions

VarianceOption (const boost::shared_ptr< Payoff > &payoff, Real notional, const Date &startDate, const Date &maturityDate)

void setupArguments (PricingEngine::arguments *args) const

Instrument interface

bool isExpired () const
returns whether the instrument might have value greater than zero.

Inspectors

Date startDate () const

Date maturityDate () const

Real notional () const

boost::shared_ptr< Payoff > payoff () const

Protected Attributes

boost::shared_ptr< Payoff > payoff_

Real notional_

Date startDate_

Date maturityDate_

Additional Inherited Members

Detailed Description

Variance option.

Warning

This class does not manage seasoned variance options.

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.

Author

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Referenced By

VarianceOption(3) is an alias of QuantLib_VarianceOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib