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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_variance_swap.html">VarianceSwap</a></div>
<h1>VarianceSwap Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::VarianceSwap" --><!-- doxytag: inherits="QuantLib::Instrument" --><code>#include <ql/Instruments/varianceswap.hpp></code>
<p>
Inheritance diagram for VarianceSwap:<p><center><img src="class_quant_lib_1_1_variance_swap__inherit__graph.png" border="0" usemap="#_variance_swap__inherit__map" alt="Inheritance graph"></center>
<map name="_variance_swap__inherit__map">
<area href="class_quant_lib_1_1_instrument.html" shape="rect" coords="64,156,160,180" alt="">
<area href="class_quant_lib_1_1_lazy_object.html" shape="rect" coords="64,81,160,105" alt="">
<area href="class_quant_lib_1_1_observable.html" shape="rect" coords="5,7,104,31" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="128,7,211,31" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_variance_swap-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Variance swap.
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000054">Warning:</a></b></dt><dd>This class does not manage seasoned variance swaps.</dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="451d01ca8a3ebbf3d122bf2a76d090d4"></a><!-- doxytag: member="QuantLib::VarianceSwap::WeightsType" ref="451d01ca8a3ebbf3d122bf2a76d090d4" args="" -->
typedef std::vector< std::pair<<br>
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> >,<br>
Real > > </td><td class="memItemRight" valign="bottom"><b>WeightsType</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4d47c8db626fe5c3de8254262afadca4"></a><!-- doxytag: member="QuantLib::VarianceSwap::VarianceSwap" ref="4d47c8db626fe5c3de8254262afadca4" args="(Position::Type position, Real strike, Real notional, const boost::shared_ptr< StochasticProcess > &process, const Date &maturityDate, const boost::shared_ptr< PricingEngine > &engine)" -->
</td><td class="memItemRight" valign="bottom"><b>VarianceSwap</b> (Position::Type position, Real strike, Real notional, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > &process, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturityDate, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > &<a class="el" href="class_quant_lib_1_1_variance_swap_1_1engine.html">engine</a>)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap.html#732a0161d1037a99ff006d5de5c6e0db">setupArguments</a> (<a class="el" href="class_quant_lib_1_1_arguments.html">Arguments</a> *args) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap.html#c09d03fe142ca309b1927896da95754c">fetchResults</a> (const <a class="el" href="class_quant_lib_1_1_results.html">Results</a> *) const</td></tr>
<tr><td colspan="2"><div class="groupHeader">Instrument interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="72b04552f657bbfa9384c3c6139a7725"></a><!-- doxytag: member="QuantLib::VarianceSwap::isExpired" ref="72b04552f657bbfa9384c3c6139a7725" args="() const" -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap.html#72b04552f657bbfa9384c3c6139a7725">isExpired</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument is still tradable. <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Additional interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b03aa38eeb7397bc097432ac4f959822"></a><!-- doxytag: member="QuantLib::VarianceSwap::strike" ref="b03aa38eeb7397bc097432ac4f959822" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>strike</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bbb67476c4c790720813262430d3f1b8"></a><!-- doxytag: member="QuantLib::VarianceSwap::position" ref="bbb67476c4c790720813262430d3f1b8" args="() const" -->
Position::Type </td><td class="memItemRight" valign="bottom"><b>position</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac5552a21a8f6cef232e50d4834dd6e7"></a><!-- doxytag: member="QuantLib::VarianceSwap::maturityDate" ref="ac5552a21a8f6cef232e50d4834dd6e7" args="() const" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maturityDate</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c64e9810c0bd1cbee8425476db0bb58d"></a><!-- doxytag: member="QuantLib::VarianceSwap::settlementDate" ref="c64e9810c0bd1cbee8425476db0bb58d" args="() const" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>settlementDate</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b88545f2c58b341d4e38a3795eb814b4"></a><!-- doxytag: member="QuantLib::VarianceSwap::notional" ref="b88545f2c58b341d4e38a3795eb814b4" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>notional</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="08ce66cf37422d8b6e77de5691bd194f"></a><!-- doxytag: member="QuantLib::VarianceSwap::fairVariance" ref="08ce66cf37422d8b6e77de5691bd194f" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>fairVariance</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fc7f085221eb342bcc93fceadd5e5be7"></a><!-- doxytag: member="QuantLib::VarianceSwap::optionWeights" ref="fc7f085221eb342bcc93fceadd5e5be7" args="(Option::Type) const " -->
std::vector< std::pair< Real,<br>
Real > > </td><td class="memItemRight" valign="bottom"><b>optionWeights</b> (Option::Type) const </td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap.html#ef24082dd24f1330f587e552a7dc4f69">setupExpired</a> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap.html#33f04fb3ac37abe7c9c6032cff611745">performCalculations</a> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="56894d395192aaae9970e5f03c5ad02f"></a><!-- doxytag: member="QuantLib::VarianceSwap::process_" ref="56894d395192aaae9970e5f03c5ad02f" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b755f283ba00dff79475b9f5c7729d43"></a><!-- doxytag: member="QuantLib::VarianceSwap::position_" ref="b755f283ba00dff79475b9f5c7729d43" args="" -->
Position::Type </td><td class="memItemRight" valign="bottom"><b>position_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f4df09cd4cbe06f6558dc5777c23e106"></a><!-- doxytag: member="QuantLib::VarianceSwap::strike_" ref="f4df09cd4cbe06f6558dc5777c23e106" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>strike_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3d1edba4f4e875e8a85a5626164b9c6b"></a><!-- doxytag: member="QuantLib::VarianceSwap::notional_" ref="3d1edba4f4e875e8a85a5626164b9c6b" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>notional_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dca7c976b55e7bb2a6bf5ed335081100"></a><!-- doxytag: member="QuantLib::VarianceSwap::maturityDate_" ref="dca7c976b55e7bb2a6bf5ed335081100" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maturityDate_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a4dc9a9931604beea24d8bf504757ed3"></a><!-- doxytag: member="QuantLib::VarianceSwap::optionWeights_" ref="a4dc9a9931604beea24d8bf504757ed3" args="" -->
WeightsType </td><td class="memItemRight" valign="bottom"><b>optionWeights_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6300854f711a505d809f190dce80c3c9"></a><!-- doxytag: member="QuantLib::VarianceSwap::fairVariance_" ref="6300854f711a505d809f190dce80c3c9" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>fairVariance_</b></td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap_1_1arguments.html">arguments</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Arguments for forward fair-variance calculation <a href="class_quant_lib_1_1_variance_swap_1_1arguments.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap_1_1engine.html">engine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">base class for variance-swap engines <a href="class_quant_lib_1_1_variance_swap_1_1engine.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap_1_1results.html">results</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Results from variance-swap calculation <a href="class_quant_lib_1_1_variance_swap_1_1results.html#_details">More...</a><br></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="732a0161d1037a99ff006d5de5c6e0db"></a><!-- doxytag: member="QuantLib::VarianceSwap::setupArguments" ref="732a0161d1037a99ff006d5de5c6e0db" args="(Arguments *args) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void setupArguments </td>
<td>(</td>
<td class="paramtype"><a class="el" href="class_quant_lib_1_1_arguments.html">Arguments</a> * </td>
<td class="paramname"> <em>args</em> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#5343dd1b4e84eb46141f7e3fdd87eb15">Instrument</a>.
</div>
</div><p>
<a class="anchor" name="c09d03fe142ca309b1927896da95754c"></a><!-- doxytag: member="QuantLib::VarianceSwap::fetchResults" ref="c09d03fe142ca309b1927896da95754c" args="(const Results *) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void fetchResults </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_results.html">Results</a> * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#c09d03fe142ca309b1927896da95754c">Instrument</a>.
</div>
</div><p>
<a class="anchor" name="ef24082dd24f1330f587e552a7dc4f69"></a><!-- doxytag: member="QuantLib::VarianceSwap::setupExpired" ref="ef24082dd24f1330f587e552a7dc4f69" args="() const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void setupExpired </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This method must leave the instrument in a consistent state when the expiration condition is met.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#ef24082dd24f1330f587e552a7dc4f69">Instrument</a>.
</div>
</div><p>
<a class="anchor" name="33f04fb3ac37abe7c9c6032cff611745"></a><!-- doxytag: member="QuantLib::VarianceSwap::performCalculations" ref="33f04fb3ac37abe7c9c6032cff611745" args="() const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void performCalculations </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
In case a pricing engine is <b>not</b> used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#33f04fb3ac37abe7c9c6032cff611745">Instrument</a>.
</div>
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