QuantLib_VarianceSwap

Langue: en

Autres versions - même langue

Version: 378113 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::VarianceSwap -

Variance swap.

SYNOPSIS


#include <ql/instruments/varianceswap.hpp>

Inherits QuantLib::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_

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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