VarianceSwap Class Reference

Variance swap. More...

#include <ql/instruments/varianceswap.hpp>

Inheritance diagram for VarianceSwap:

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...

Public Member Functions
	VarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate)
Instrument interface
bool	isExpired () const
	returns whether the instrument might have value greater than zero.
Public Member Functions inherited from Instrument
Real	NPV () const
	returns the net present value of the instrument.
Real	errorEstimate () const
	returns the error estimate on the NPV when available.
const Date &	valuationDate () const
	returns the date the net present value refers to.
template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.
const std::map< std::string, boost::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...
Public Member Functions inherited from LazyObject
void	update ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
void	alwaysForwardNotifications ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Additional interface
Position::Type	position_
Real	strike_
Real	notional_
Date	startDate_
Date	maturityDate_
Real	variance_
Real	strike () const
Position::Type	position () const
Date	startDate () const
Date	maturityDate () const
Real	notional () const
Real	variance () const
void	setupArguments (PricingEngine::arguments *args) const
void	fetchResults (const PricingEngine::results *) const
void	setupExpired () const

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Member Functions inherited from Instrument
void	calculate () const
virtual void	performCalculations () const
Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, boost::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
Protected Attributes inherited from LazyObject
bool	calculated_
bool	frozen_
bool	alwaysForward_

Detailed Description

Variance swap.

Warning:

This class does not manage seasoned variance swaps.

Member Function Documentation

setupArguments()

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.

fetchResults()

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.

setupExpired()

void setupExpired ( ) const

protectedvirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.