#include <qle/instruments/pairwisevarianceswap.hpp>

Inheritance diagram for PairwiseVarianceSwap::arguments:

Collaboration diagram for PairwiseVarianceSwap::arguments:

Public Member Functions
	arguments ()

void	validate () const override

Public Attributes
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

Detailed Description

Arguments

Definition at line 102 of file pairwisevarianceswap.hpp.

Constructor & Destructor Documentation

◆ arguments()

arguments ( )

Definition at line 104 of file pairwisevarianceswap.hpp.

        : strike1(Null<Real>()), strike2(Null<Real>()), basketStrike(Null<Real>()), notional1(Null<Real>()),
          notional2(Null<Real>()), basketNotional(Null<Real>()), cap(Null<Real>()), floor(Null<Real>()),
          payoffLimit(Null<Real>()), accrualLag(Null<int>()) {}

Member Function Documentation

◆ validate()

void validate ( ) const

override

Definition at line 80 of file pairwisevarianceswap.cpp.

                                                   {
    QL_REQUIRE(strike1 != Null<Real>(), "no strike given for first underlying");
    QL_REQUIRE(strike1 > 0.0, "negative or null strike given for first underlying");
    QL_REQUIRE(strike2 != Null<Real>(), "no strike given for second underlying");
    QL_REQUIRE(strike2 > 0.0, "negative or null strike given for second underlying");
    QL_REQUIRE(basketStrike != Null<Real>(), "no strike given for basket");
    QL_REQUIRE(basketStrike > 0.0, "negative or null strike given for basket");
 
    QL_REQUIRE(notional1 != Null<Real>(), "no notional given for first underlying");
    QL_REQUIRE(notional1 > 0.0, "negative or null notional given for first underlying");
    QL_REQUIRE(notional2 != Null<Real>(), "no notional given for second underlying");
    QL_REQUIRE(notional2 > 0.0, "negative or null notional given for second underlying");
    QL_REQUIRE(basketNotional != Null<Real>(), "no notional given for basket");
    QL_REQUIRE(basketNotional > 0.0, "negative or null notional given for basket");
 
    QL_REQUIRE(cap != Null<Real>(), "no cap given");
    QL_REQUIRE(cap >= 0.0, "cap must be non-negative");
    QL_REQUIRE(floor != Null<Real>(), "no floor given");
    QL_REQUIRE(floor >= 0.0, "floor must be non-negative");
    QL_REQUIRE(payoffLimit != Null<Real>(), "no payoff limit given");
    QL_REQUIRE(payoffLimit > 0.0, "payoff limit must be non-negative");
    QL_REQUIRE(accrualLag != Null<int>(), "no accrual lag given");
 
    QL_REQUIRE(!valuationSchedule.empty(), "no valuation schedule given");
    QL_REQUIRE(!laggedValuationSchedule.empty(), "no lagged valuation schedule given");
    QL_REQUIRE(valuationSchedule.dates().size() == laggedValuationSchedule.dates().size(),
               "valuation schedule and lagged valuation schedule must have the same size");
    QL_REQUIRE(settlementDate != Date(), "null settlement date given");
}

Member Data Documentation

◆ position

Position::Type position

Definition at line 109 of file pairwisevarianceswap.hpp.

◆ strike1

Real strike1

Definition at line 110 of file pairwisevarianceswap.hpp.

◆ strike2

Real strike2

Definition at line 111 of file pairwisevarianceswap.hpp.

◆ basketStrike

Real basketStrike

Definition at line 112 of file pairwisevarianceswap.hpp.

◆ notional1

Real notional1

Definition at line 113 of file pairwisevarianceswap.hpp.

◆ notional2

Real notional2

Definition at line 114 of file pairwisevarianceswap.hpp.

◆ basketNotional

Real basketNotional

Definition at line 115 of file pairwisevarianceswap.hpp.

◆ cap

Real cap

Definition at line 116 of file pairwisevarianceswap.hpp.

◆ floor

Real floor

Definition at line 117 of file pairwisevarianceswap.hpp.

◆ payoffLimit

Real payoffLimit

Definition at line 118 of file pairwisevarianceswap.hpp.

◆ accrualLag

int accrualLag

Definition at line 119 of file pairwisevarianceswap.hpp.

◆ valuationSchedule

Schedule valuationSchedule

Definition at line 120 of file pairwisevarianceswap.hpp.

◆ laggedValuationSchedule

Schedule laggedValuationSchedule

Definition at line 121 of file pairwisevarianceswap.hpp.

◆ settlementDate

Date settlementDate

Definition at line 122 of file pairwisevarianceswap.hpp.

Public Member Functions

Public Attributes