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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Warren Chou
Copyright (C) 2007, 2008 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/instruments/varianceswap.hpp>
#include <ql/event.hpp>
namespace QuantLib {
VarianceSwap::VarianceSwap(
Position::Type position,
Real strike,
Real notional,
const Date& startDate,
const Date& maturityDate)
: position_(position), strike_(strike), notional_(notional),
startDate_(startDate), maturityDate_(maturityDate) {}
Real VarianceSwap::variance() const {
calculate();
QL_REQUIRE(variance_ != Null<Real>(), "result not available");
return variance_;
}
void VarianceSwap::setupExpired() const {
Instrument::setupExpired();
variance_ = Null<Real>();
}
void VarianceSwap::setupArguments(PricingEngine::arguments* args) const {
auto* arguments = dynamic_cast<VarianceSwap::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "wrong argument type");
arguments->position = position_;
arguments->strike = strike_;
arguments->notional = notional_;
arguments->startDate = startDate_;
arguments->maturityDate = maturityDate_;
}
void VarianceSwap::fetchResults(const PricingEngine::results* r) const {
Instrument::fetchResults(r);
const auto* results = dynamic_cast<const VarianceSwap::results*>(r);
variance_ = results->variance;
}
void VarianceSwap::arguments::validate() const {
QL_REQUIRE(strike != Null<Real>(), "no strike given");
QL_REQUIRE(strike > 0.0, "negative or null strike given");
QL_REQUIRE(notional != Null<Real>(), "no notional given");
QL_REQUIRE(notional > 0.0, "negative or null notional given");
QL_REQUIRE(startDate != Date(), "null start date given");
QL_REQUIRE(maturityDate != Date(), "null maturity date given");
}
bool VarianceSwap::isExpired() const {
return detail::simple_event(maturityDate_).hasOccurred();
}
}
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