Variance swap. More...
#include <varianceswap.hpp>
Inheritance diagram for VarianceSwap:
Collaboration diagram for VarianceSwap:
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 | |
| VarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate) | |
Instrument interface | |
| bool | isExpired () const override |
| returns whether the instrument might have value greater than zero. More... | |
| Public Member Functions inherited from Instrument | |
| Instrument () | |
| Real | NPV () const |
| returns the net present value of the instrument. More... | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. More... | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. More... | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. More... | |
| const std::map< std::string, ext::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. More... | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| Public Member Functions inherited from LazyObject | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
Additional interface | |
| Position::Type | position_ |
| Real | strike_ |
| Real | notional_ |
| Date | startDate_ |
| Date | maturityDate_ |
| Real | variance_ |
| Real | strike () const |
| Position::Type | position () const |
| Date | startDate () const |
| Date | maturityDate () const |
| Real | notional () const |
| Real | variance () const |
| void | setupArguments (PricingEngine::arguments *args) const override |
| void | fetchResults (const PricingEngine::results *) const override |
| void | setupExpired () const override |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| void | performCalculations () const override |
| Protected Member Functions inherited from LazyObject | |
| Protected Attributes inherited from Instrument | |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, ext::any > | additionalResults_ |
| ext::shared_ptr< PricingEngine > | engine_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
Variance swap.
- Warning:
- This class does not manage seasoned variance swaps.
Definition at line 40 of file varianceswap.hpp.
Constructor & Destructor Documentation
◆ VarianceSwap()
| VarianceSwap | ( | Position::Type | position, |
| Real | strike, | ||
| Real | notional, | ||
| const Date & | startDate, | ||
| const Date & | maturityDate | ||
| ) |
Definition at line 26 of file varianceswap.cpp.
Member Function Documentation
◆ isExpired()
|
overridevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Definition at line 72 of file varianceswap.cpp.
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◆ strike()
| Real strike | ( | ) | const |
Definition at line 120 of file varianceswap.hpp.
◆ position()
| Position::Type position | ( | ) | const |
Definition at line 128 of file varianceswap.hpp.
◆ startDate()
| Date startDate | ( | ) | const |
Definition at line 112 of file varianceswap.hpp.
◆ maturityDate()
| Date maturityDate | ( | ) | const |
Definition at line 116 of file varianceswap.hpp.
◆ notional()
| Real notional | ( | ) | const |
Definition at line 124 of file varianceswap.hpp.
◆ variance()
| Real variance | ( | ) | const |
◆ setupArguments()
|
overridevirtual |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Definition at line 46 of file varianceswap.cpp.
◆ fetchResults()
|
overridevirtual |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Definition at line 57 of file varianceswap.cpp.
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◆ setupExpired()
|
overrideprotectedvirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
Definition at line 41 of file varianceswap.cpp.
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Member Data Documentation
◆ position_
|
protected |
Definition at line 72 of file varianceswap.hpp.
◆ strike_
|
protected |
Definition at line 73 of file varianceswap.hpp.
◆ notional_
|
protected |
Definition at line 74 of file varianceswap.hpp.
◆ startDate_
|
protected |
Definition at line 75 of file varianceswap.hpp.
◆ maturityDate_
|
protected |
Definition at line 75 of file varianceswap.hpp.
◆ variance_
|
mutableprotected |
Definition at line 77 of file varianceswap.hpp.