maturityDate_ (3) - Linux Manuals

maturityDate_: Variance option.

NAME

QuantLib::VarianceOption - Variance option.

SYNOPSIS

#include <ql/experimental/varianceoption/varianceoption.hpp>

Inherits QuantLib::Instrument.

Classes

class arguments
Arguments 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.

Author

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