VarianceSwap Class Reference
[Financial instruments]
#include <ql/instruments/varianceswap.hpp>
Inheritance diagram for VarianceSwap:

Detailed Description
Variance swap.
- Warning:
- This class does not manage seasoned variance swaps.
Public Types | |
typedef std::vector< std::pair< boost::shared_ptr< StrikedTypePayoff >, Real > > | WeightsType |
Public Member Functions | |
VarianceSwap (Position::Type position, Real strike, Real notional, const boost::shared_ptr< StochasticProcess > &process, const Date &maturityDate, const boost::shared_ptr< PricingEngine > &engine) | |
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 | maturityDate () const |
Date | settlementDate () const |
Real | notional () const |
Real | fairVariance () const |
std::vector< std::pair< Real, Real > > | optionWeights (Option::Type) const |
Protected Member Functions | |
void | setupExpired () const |
void | performCalculations () const |
Protected Attributes | |
boost::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
Position::Type | position_ |
Real | strike_ |
Real | notional_ |
Date | maturityDate_ |
WeightsType | optionWeights_ |
Real | fairVariance_ |
Classes | |
class | arguments |
Arguments for forward fair-variance calculation More... | |
class | engine |
base class for variance-swap engines More... | |
class | results |
Results from variance-swap calculation More... |
Member Function Documentation
void fetchResults | ( | const PricingEngine::results * | ) | 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.
void performCalculations | ( | ) | const [protected, virtual] |
In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
Reimplemented from Instrument.