QuantLib_VarianceSwap man page

VarianceSwap — Variance swap.  

Synopsis

#include <ql/instruments/varianceswap.hpp>

Inherits Instrument.

Classes

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

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_

Additional Inherited Members

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.

Author

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Referenced By

position(3), position_(3) and VarianceSwap(3) are aliases of QuantLib_VarianceSwap(3).

Fri Jun 2 2017 Version 1.10 QuantLib