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QuantLib_VarianceSwap
Langue: en
Version: 378113 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- 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.
- 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.
- void setupExpired () const [protected, virtual]This method must leave the instrument in a consistent state when the expiration condition is met.
- Author
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 might have value greater than zero.
Additional interface
Real strike () const
Position::Type position () const
Date startDate () const
Date maturityDate () const
Real notional () const
Real variance () const
Protected Member Functions
void setupExpired () const
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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