Pairwise Variance swap. More...

#include <qle/instruments/pairwisevarianceswap.hpp>

Inheritance diagram for PairwiseVarianceSwap:

Collaboration diagram for PairwiseVarianceSwap:

Classes
class	arguments
	Arguments More...

class	engine
	base class for pairwise variance-swap engines More...

class	results
	Results from pairwise variance-swap calculation More...

Public Member Functions
	PairwiseVarianceSwap (const Position::Type position, const Real strike1, const Real strike2, const Real basketStrike, const Real notional1, const Real notional2, const Real basketNotional, const Real cap, const Real floor, const Real payoffLimit, const int accrualLag, const Schedule valuationSchedule, const Schedule laggedValuationSchedule, const Date settlementDate)

Instrument interface
bool	isExpired () const override

Additional interface
Position::Type	position_

Real	strike1_

Real	strike2_

Real	basketStrike_

Real	notional1_

Real	notional2_

Real	basketNotional_

Real	cap_

Real	floor_

Real	payoffLimit_

int	accrualLag_

Schedule	valuationSchedule_

Schedule	laggedValuationSchedule_

Date	settlementDate_

Real	variance1_

Real	finalVariance1_

Real	variance2_

Real	finalVariance2_

Real	basketVariance_

Real	finalBasketVariance_

Position::Type	position () const

Real	strike1 () const

Real	strike2 () const

Real	basketStrike () const

Real	notional1 () const

Real	notional2 () const

Real	basketNotional () const

Real	cap () const

Real	floor () const

Real	payoffLimit () const

int	accrualLag () const

Schedule	valuationSchedule () const

Schedule	laggedValuationSchedule () const

Date	settlementDate () const

Real	variance1 () const

Real	variance2 () const

Real	basketVariance () const

void	setupArguments (PricingEngine::arguments *args) const override

void	fetchResults (const PricingEngine::results *) const override

void	setupExpired () const override

Detailed Description

Pairwise Variance swap.

Definition at line 36 of file pairwisevarianceswap.hpp.

Constructor & Destructor Documentation

◆ PairwiseVarianceSwap()

PairwiseVarianceSwap	(	const Position::Type	position,
		const Real	strike1,
		const Real	strike2,
		const Real	basketStrike,
		const Real	notional1,
		const Real	notional2,
		const Real	basketNotional,
		const Real	cap,
		const Real	floor,
		const Real	payoffLimit,
		const int	accrualLag,
		const Schedule	valuationSchedule,
		const Schedule	laggedValuationSchedule,
		const Date	settlementDate
	)

Definition at line 25 of file pairwisevarianceswap.cpp.

    : position_(position), strike1_(strike1), strike2_(strike2), basketStrike_(basketStrike), notional1_(notional1),
      notional2_(notional2), basketNotional_(basketNotional), cap_(cap), floor_(floor), payoffLimit_(payoffLimit),
      accrualLag_(accrualLag), valuationSchedule_(valuationSchedule), laggedValuationSchedule_(laggedValuationSchedule),
      settlementDate_(settlementDate) {}

Member Function Documentation

◆ isExpired()

bool isExpired ( ) const

override

Definition at line 110 of file pairwisevarianceswap.cpp.

110{ return detail::simple_event(settlementDate_).hasOccurred(); }

◆ position()

Position::Type position ( ) const

Definition at line 158 of file pairwisevarianceswap.hpp.

158{ return position_; }

◆ strike1()

Real strike1 ( ) const

Definition at line 160 of file pairwisevarianceswap.hpp.

160{ return strike1_; }

◆ strike2()

Real strike2 ( ) const

Definition at line 162 of file pairwisevarianceswap.hpp.

162{ return strike2_; }

◆ basketStrike()

Real basketStrike ( ) const

Definition at line 164 of file pairwisevarianceswap.hpp.

164{ return basketStrike_; }

◆ notional1()

Real notional1 ( ) const

Definition at line 166 of file pairwisevarianceswap.hpp.

166{ return notional1_; }

◆ notional2()

Real notional2 ( ) const

Definition at line 168 of file pairwisevarianceswap.hpp.

168{ return notional2_; }

◆ basketNotional()

Real basketNotional ( ) const

Definition at line 170 of file pairwisevarianceswap.hpp.

170{ return basketNotional_; }

◆ cap()

Real cap ( ) const

Definition at line 172 of file pairwisevarianceswap.hpp.

172{ return cap_; }

◆ floor()

Real floor ( ) const

Definition at line 174 of file pairwisevarianceswap.hpp.

174{ return floor_; }

◆ payoffLimit()

Real payoffLimit ( ) const

Definition at line 176 of file pairwisevarianceswap.hpp.

176{ return payoffLimit_; }

◆ accrualLag()

int accrualLag ( ) const

Definition at line 178 of file pairwisevarianceswap.hpp.

178{ return accrualLag_; }

◆ valuationSchedule()

Schedule valuationSchedule ( ) const

Definition at line 180 of file pairwisevarianceswap.hpp.

180{ return valuationSchedule_; }

◆ laggedValuationSchedule()

Schedule laggedValuationSchedule ( ) const

Definition at line 182 of file pairwisevarianceswap.hpp.

182{ return laggedValuationSchedule_; }

◆ settlementDate()

Date settlementDate ( ) const

Definition at line 184 of file pairwisevarianceswap.hpp.

184{ return settlementDate_; }

◆ variance1()

Real variance1 ( ) const

Definition at line 34 of file pairwisevarianceswap.cpp.

                                           {
    calculate();
    QL_REQUIRE(variance1_ != Null<Real>(), "result not available");
    return variance1_;
}

◆ variance2()

Real variance2 ( ) const

Definition at line 40 of file pairwisevarianceswap.cpp.

                                           {
    calculate();
    QL_REQUIRE(variance2_ != Null<Real>(), "result not available");
    return variance2_;
}

◆ basketVariance()

Real basketVariance ( ) const

Definition at line 46 of file pairwisevarianceswap.cpp.

                                                {
    calculate();
    QL_REQUIRE(basketVariance_ != Null<Real>(), "result not available");
    return basketVariance_;
}

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * args ) const

override

Definition at line 52 of file pairwisevarianceswap.cpp.

                                                                            {
    auto* arguments = dynamic_cast<PairwiseVarianceSwap::arguments*>(args);
    QL_REQUIRE(arguments != nullptr, "wrong argument type");
 
    arguments->position = position_;
    arguments->strike1 = strike1_;
    arguments->strike2 = strike2_;
    arguments->basketStrike = basketStrike_;
    arguments->notional1 = notional1_;
    arguments->notional2 = notional2_;
    arguments->basketNotional = basketNotional_;
    arguments->cap = cap_;
    arguments->floor = floor_;
    arguments->payoffLimit = payoffLimit_;
    arguments->accrualLag = accrualLag_;
    arguments->valuationSchedule = valuationSchedule_;
    arguments->laggedValuationSchedule = laggedValuationSchedule_;
    arguments->settlementDate = settlementDate_;
}

◆ fetchResults()

void fetchResults ( const PricingEngine::results * r ) const

override

Definition at line 72 of file pairwisevarianceswap.cpp.

                                                                           {
    Instrument::fetchResults(r);
    const auto* results = dynamic_cast<const PairwiseVarianceSwap::results*>(r);
    variance1_ = results->variance1;
    variance2_ = results->variance2;
    basketVariance_ = results->basketVariance;
}

◆ setupExpired()

void setupExpired ( ) const

overrideprotected

Definition at line 112 of file pairwisevarianceswap.cpp.

                                              {
    Instrument::setupExpired();
    variance1_ = variance2_ = basketVariance_ = Null<Real>();
}

Member Data Documentation

◆ position_

Position::Type position_

protected

Definition at line 79 of file pairwisevarianceswap.hpp.

◆ strike1_

Real strike1_

protected

Definition at line 80 of file pairwisevarianceswap.hpp.

◆ strike2_

Real strike2_

protected

Definition at line 81 of file pairwisevarianceswap.hpp.

◆ basketStrike_

Real basketStrike_

protected

Definition at line 82 of file pairwisevarianceswap.hpp.

◆ notional1_

Real notional1_

protected

Definition at line 83 of file pairwisevarianceswap.hpp.

◆ notional2_

Real notional2_

protected

Definition at line 84 of file pairwisevarianceswap.hpp.

◆ basketNotional_

Real basketNotional_

protected

Definition at line 85 of file pairwisevarianceswap.hpp.

◆ cap_

Real cap_

protected

Definition at line 86 of file pairwisevarianceswap.hpp.

◆ floor_

Real floor_

protected

Definition at line 87 of file pairwisevarianceswap.hpp.

◆ payoffLimit_

Real payoffLimit_

protected

Definition at line 88 of file pairwisevarianceswap.hpp.

◆ accrualLag_

int accrualLag_

protected

Definition at line 89 of file pairwisevarianceswap.hpp.

◆ valuationSchedule_

Schedule valuationSchedule_

protected

Definition at line 90 of file pairwisevarianceswap.hpp.

◆ laggedValuationSchedule_

Schedule laggedValuationSchedule_

protected

Definition at line 90 of file pairwisevarianceswap.hpp.

◆ settlementDate_

Date settlementDate_

protected

Definition at line 91 of file pairwisevarianceswap.hpp.

◆ variance1_

Real variance1_

mutableprotected

Definition at line 93 of file pairwisevarianceswap.hpp.

◆ finalVariance1_

Real finalVariance1_

mutableprotected

Definition at line 94 of file pairwisevarianceswap.hpp.

◆ variance2_

Real variance2_

mutableprotected

Definition at line 95 of file pairwisevarianceswap.hpp.

◆ finalVariance2_

Real finalVariance2_

mutableprotected

Definition at line 96 of file pairwisevarianceswap.hpp.

◆ basketVariance_

Real basketVariance_

mutableprotected

Definition at line 97 of file pairwisevarianceswap.hpp.

◆ finalBasketVariance_

Real finalBasketVariance_

mutableprotected

Definition at line 98 of file pairwisevarianceswap.hpp.

Classes

Public Member Functions

Additional interface

Detailed Description

Constructor & Destructor Documentation

◆ PairwiseVarianceSwap()

Member Function Documentation

◆ isExpired()

◆ position()

◆ strike1()

◆ strike2()

◆ basketStrike()

◆ notional1()

◆ notional2()

◆ basketNotional()

◆ cap()

◆ floor()

◆ payoffLimit()

◆ accrualLag()

◆ valuationSchedule()

◆ laggedValuationSchedule()

◆ settlementDate()

◆ variance1()

◆ variance2()

◆ basketVariance()

◆ setupArguments()

◆ fetchResults()

◆ setupExpired()

Member Data Documentation

◆ position_

◆ strike1_

◆ strike2_

◆ basketStrike_

◆ notional1_

◆ notional2_

◆ basketNotional_

◆ cap_

◆ floor_

◆ payoffLimit_

◆ accrualLag_

◆ valuationSchedule_

◆ laggedValuationSchedule_

◆ settlementDate_

◆ variance1_

◆ finalVariance1_

◆ variance2_

◆ finalVariance2_

◆ basketVariance_

◆ finalBasketVariance_