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QuantLib_VarianceOption
Langue: en
Version: 382416 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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 might have value greater than zero.
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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