VarianceSwap2 Class Reference

Variance swap. More...

#include <qle/instruments/varianceswap.hpp>

Inheritance diagram for VarianceSwap2:

Collaboration diagram for VarianceSwap2:

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
	VarianceSwap2 (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate, const Calendar &calendar, bool addPastDividends)

Additional interface
Calendar	calendar_
bool	addPastDividends_
Calendar	calendar () const
bool	addPastDividends () const
void	setupArguments (PricingEngine::arguments *args) const override

Detailed Description

Variance swap.

Warning:

This class does not manage seasoned variance swaps.

Definition at line 36 of file varianceswap.hpp.

Constructor & Destructor Documentation

VarianceSwap2()

VarianceSwap2	(	Position::Type	position,
		Real	strike,
		Real	notional,
		const Date &	startDate,
		const Date &	maturityDate,
		const Calendar &	calendar,
		bool	addPastDividends
	)

Definition at line 23 of file varianceswap.cpp.

    : QuantLib::VarianceSwap(position, strike, notional, startDate, maturityDate), calendar_(calendar),
      addPastDividends_(addPastDividends) {}

Member Function Documentation

calendar()

Calendar calendar

(

)

const

Definition at line 75 of file varianceswap.hpp.

{ return calendar_; }

addPastDividends()

bool addPastDividends

(

)

const

Definition at line 77 of file varianceswap.hpp.

{ return addPastDividends_; }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 28 of file varianceswap.cpp.

                                                                     {
    QuantLib::VarianceSwap::setupArguments(args);
    QuantExt::VarianceSwap2::arguments* arguments = dynamic_cast<QuantExt::VarianceSwap2::arguments*>(args);
    QL_REQUIRE(arguments != 0, "wrong argument type");
 
    arguments->calendar = calendar_;
    arguments->addPastDividends = addPastDividends_;
}

Member Data Documentation

calendar_

Calendar calendar_

protected

Definition at line 54 of file varianceswap.hpp.

addPastDividends_

bool addPastDividends_

protected

Definition at line 55 of file varianceswap.hpp.