#include <qle/pricingengines/pairwisevarianceswapengine.hpp>

Collaboration diagram for Variances:

Public Member Functions
	Variances ()

Public Attributes
Real	accruedVariance1

Real	accruedVariance2

Real	accruedBasketVariance

Real	futureVariance1

Real	futureVariance2

Real	futureBasketVariance

Real	totalVariance1

Real	totalVariance2

Real	totalBasketVariance

Detailed Description

Definition at line 40 of file pairwisevarianceswapengine.hpp.

Constructor & Destructor Documentation

◆ Variances()

Variances ( )

Definition at line 51 of file pairwisevarianceswapengine.hpp.

                {
        accruedVariance1 = 0.0;
        accruedVariance2 = 0.0;
        accruedBasketVariance = 0.0;
        futureVariance1 = 0.0;
        futureVariance2 = 0.0;
        futureBasketVariance = 0.0;
        totalVariance1 = 0.0;
        totalVariance2 = 0.0;
        totalBasketVariance = 0.0;
    }