position_ (3) - Linux Manuals
position_: Variance swap.
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 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
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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