QuantLib_VarianceOption man page

VarianceOption — Variance option.  


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

Inherits Instrument.


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.


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.


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.


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Referenced By

The man page VarianceOption(3) is an alias of QuantLib_VarianceOption(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib