VarianceSwap (3) Linux Manual Page

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 is still tradable.

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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