VarianceOption (3) Linux Manual Page
QuantLib::VarianceOption – Variance option.
Synopsis
#include <ql/experimental/varianceoption/varianceoption.hpp>Inherits QuantLib::Instrument.
Classes
class argumentsArguments 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 is still tradable.
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_
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.