QuantLib_VarianceSwap (3) - Linux Manuals
QuantLib_VarianceSwap: Variance swap.
QuantLib::VarianceSwap - Variance swap.
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
bool isExpired () const
returns whether the instrument is still tradable.
Protected Member Functions
- 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.
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.
void setupExpired () const [protected, virtual]
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
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