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 might have value greater than zero.
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.