VarianceOption Class Reference
[Financial instruments]

Variance option. More...

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

Inheritance diagram for VarianceOption:

List of all members.

Classes

class  arguments
 Arguments for forward fair-variance calculation More...
class  engine
 base class for variance-option engines More...
class  results
 Results from variance-option calculation More...

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< Payoffpayoff () const

Protected Attributes

boost::shared_ptr< Payoffpayoff_
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.