QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Classes | Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
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)
 
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
 
- 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 DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename 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 boost::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 ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Member Functions

void setupExpired () const
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject

Protected Attributes

Position::Type position_
 
Real strike_
 
Real notional_
 
Date startDate_
 
Date maturityDate_
 
Real variance_
 
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

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
protectedvirtual

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

Reimplemented from Instrument.