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<div class="title">VarianceSwap Class Reference<div class="ingroups"><a class="el" href="group__instruments.html">Financial instruments</a></div></div> </div>
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<!-- doxytag: class="QuantLib::VarianceSwap" --><!-- doxytag: inherits="QuantLib::Instrument" -->
<p>Variance swap.
<a href="class_quant_lib_1_1_variance_swap.html#details">More...</a></p>
<p><code>#include <ql/instruments/varianceswap.hpp></code></p>
<div class="dynheader">
Inheritance diagram for VarianceSwap:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_variance_swap__inherit__graph.png" border="0" usemap="#_variance_swap_inherit__map" alt="Inheritance graph"/></div>
<map name="_variance_swap_inherit__map" id="_variance_swap_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_instrument.html" title="Abstract instrument class." alt="" coords="16,6,99,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_variance_swap-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="nested-classes"></a>
Classes</h2></td></tr>
<tr><td class="memItemLeft" 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" 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" 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>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8d8c7f76c65eb0de26d12a68e54c93dc"></a><!-- doxytag: member="QuantLib::VarianceSwap::VarianceSwap" ref="a8d8c7f76c65eb0de26d12a68e54c93dc" args="(Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate)" -->
 </td><td class="memItemRight" valign="bottom"><b>VarianceSwap</b> (Position::Type position, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> notional, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturityDate)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap.html#a769a037255393b166557200edad61038">setupArguments</a> (PricingEngine::arguments *args) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> (const PricingEngine::results *) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Instrument interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a274c03751addc5c2ea63cc23d14a0bfe"></a><!-- doxytag: member="QuantLib::VarianceSwap::isExpired" ref="a274c03751addc5c2ea63cc23d14a0bfe" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap.html#a274c03751addc5c2ea63cc23d14a0bfe">isExpired</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument might have value greater than zero. <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">Additional interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad7c02470d5002728533aa20843a1bd78"></a><!-- doxytag: member="QuantLib::VarianceSwap::strike" ref="ad7c02470d5002728533aa20843a1bd78" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>strike</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9b0616b9de40e7e78a627c74bfa3dd03"></a><!-- doxytag: member="QuantLib::VarianceSwap::position" ref="a9b0616b9de40e7e78a627c74bfa3dd03" args="() const " -->
Position::Type </td><td class="memItemRight" valign="bottom"><b>position</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3ab172f9ecc49c3e4606945f0704dcdb"></a><!-- doxytag: member="QuantLib::VarianceSwap::startDate" ref="a3ab172f9ecc49c3e4606945f0704dcdb" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>startDate</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a716a3c2e199a948105b3be48b6c338aa"></a><!-- doxytag: member="QuantLib::VarianceSwap::maturityDate" ref="a716a3c2e199a948105b3be48b6c338aa" 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" align="right" valign="top"><a class="anchor" id="a77c2316297c4e96aac988cecd2564e72"></a><!-- doxytag: member="QuantLib::VarianceSwap::notional" ref="a77c2316297c4e96aac988cecd2564e72" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>notional</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4b8b05b2a9af92dad9cc304c2925a4eb"></a><!-- doxytag: member="QuantLib::VarianceSwap::variance" ref="a4b8b05b2a9af92dad9cc304c2925a4eb" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>variance</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap.html#a1ea01b653cd3880c3e5d8bc34af412d3">setupExpired</a> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab755f283ba00dff79475b9f5c7729d43"></a><!-- doxytag: member="QuantLib::VarianceSwap::position_" ref="ab755f283ba00dff79475b9f5c7729d43" args="" -->
Position::Type </td><td class="memItemRight" valign="bottom"><b>position_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af4df09cd4cbe06f6558dc5777c23e106"></a><!-- doxytag: member="QuantLib::VarianceSwap::strike_" ref="af4df09cd4cbe06f6558dc5777c23e106" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>strike_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3d1edba4f4e875e8a85a5626164b9c6b"></a><!-- doxytag: member="QuantLib::VarianceSwap::notional_" ref="a3d1edba4f4e875e8a85a5626164b9c6b" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>notional_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac56f0c18a8f1a3337b9f9456958e4611"></a><!-- doxytag: member="QuantLib::VarianceSwap::startDate_" ref="ac56f0c18a8f1a3337b9f9456958e4611" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>startDate_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adca7c976b55e7bb2a6bf5ed335081100"></a><!-- doxytag: member="QuantLib::VarianceSwap::maturityDate_" ref="adca7c976b55e7bb2a6bf5ed335081100" 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" align="right" valign="top"><a class="anchor" id="a24129c87c49238b3cfb21fe9478f0a07"></a><!-- doxytag: member="QuantLib::VarianceSwap::variance_" ref="a24129c87c49238b3cfb21fe9478f0a07" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>variance_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Variance swap. </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000063">Warning:</a></b></dt><dd>This class does not manage seasoned variance swaps.</dd></dl>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a769a037255393b166557200edad61038"></a><!-- doxytag: member="QuantLib::VarianceSwap::setupArguments" ref="a769a037255393b166557200edad61038" args="(PricingEngine::arguments *args) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_variance_swap.html#a769a037255393b166557200edad61038">setupArguments</a> </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"></td><td>)</td>
<td> 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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#aad6958108bfaef12bc4ccd6b3d7a7231">Instrument</a>.</p>
</div>
</div>
<a class="anchor" id="aa0a3105ddebcff9f233fb76a8a31fafe"></a><!-- doxytag: member="QuantLib::VarianceSwap::fetchResults" ref="aa0a3105ddebcff9f233fb76a8a31fafe" args="(const PricingEngine::results *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_variance_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> </td>
<td>(</td>
<td class="paramtype">const PricingEngine::results * </td>
<td class="paramname"><em>r</em></td><td>)</td>
<td> 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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#aa0a3105ddebcff9f233fb76a8a31fafe">Instrument</a>.</p>
</div>
</div>
<a class="anchor" id="a1ea01b653cd3880c3e5d8bc34af412d3"></a><!-- doxytag: member="QuantLib::VarianceSwap::setupExpired" ref="a1ea01b653cd3880c3e5d8bc34af412d3" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_variance_swap.html#a1ea01b653cd3880c3e5d8bc34af412d3">setupExpired</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> 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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#a1ea01b653cd3880c3e5d8bc34af412d3">Instrument</a>.</p>
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