Results from pairwise variance-swap calculation More...

#include <qle/instruments/pairwisevarianceswap.hpp>

Inheritance diagram for PairwiseVarianceSwap::results:

Collaboration diagram for PairwiseVarianceSwap::results:

Public Member Functions
void	reset () override

Public Attributes
Real	variance1

Real	finalVariance1

Real	variance2

Real	finalVariance2

Real	basketVariance

Real	finalBasketVariance

Real	equityAmount1

Real	equityAmount2

Real	equityAmountBasket

Real	pairwiseEquityAmount

Real	finalEquityAmount

Detailed Description

Results from pairwise variance-swap calculation

Definition at line 126 of file pairwisevarianceswap.hpp.

Member Function Documentation

◆ reset()

void reset ( )

override

Definition at line 135 of file pairwisevarianceswap.hpp.

                          {
        Instrument::results::reset();
        variance1 = Null<Real>();
        variance2 = Null<Real>();
        basketVariance = Null<Real>();
        finalVariance1 = Null<Real>();
        finalVariance2 = Null<Real>();
        finalBasketVariance = Null<Real>();
        finalVariance1 = Null<Real>();
        equityAmount1 = Null<Real>();
        equityAmount2 = Null<Real>();
        equityAmountBasket = Null<Real>();
        pairwiseEquityAmount = Null<Real>();
        finalEquityAmount = Null<Real>();
    }

Member Data Documentation

◆ variance1

Real variance1

Definition at line 128 of file pairwisevarianceswap.hpp.

◆ finalVariance1

Real finalVariance1

Definition at line 128 of file pairwisevarianceswap.hpp.

◆ variance2

Real variance2

Definition at line 129 of file pairwisevarianceswap.hpp.

◆ finalVariance2

Real finalVariance2

Definition at line 129 of file pairwisevarianceswap.hpp.

◆ basketVariance

Real basketVariance

Definition at line 130 of file pairwisevarianceswap.hpp.

◆ finalBasketVariance

Real finalBasketVariance

Definition at line 130 of file pairwisevarianceswap.hpp.

◆ equityAmount1

Real equityAmount1

Definition at line 131 of file pairwisevarianceswap.hpp.

◆ equityAmount2

Real equityAmount2

Definition at line 132 of file pairwisevarianceswap.hpp.

◆ equityAmountBasket

Real equityAmountBasket

Definition at line 133 of file pairwisevarianceswap.hpp.

◆ pairwiseEquityAmount

Real pairwiseEquityAmount

Definition at line 134 of file pairwisevarianceswap.hpp.

◆ finalEquityAmount

Real finalEquityAmount