QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Arguments for forward fair-variance calculation More...
#include <varianceswap.hpp>
Public Member Functions | |
arguments () | |
void | validate () const override |
Public Member Functions inherited from PricingEngine::arguments | |
virtual | ~arguments ()=default |
virtual void | validate () const =0 |
Public Attributes | |
Position::Type | position |
Real | strike |
Real | notional |
Date | startDate |
Date | maturityDate |
Arguments for forward fair-variance calculation
Definition at line 82 of file varianceswap.hpp.
arguments | ( | ) |
Definition at line 84 of file varianceswap.hpp.
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overridevirtual |
Implements PricingEngine::arguments.
Definition at line 63 of file varianceswap.cpp.
Position::Type position |
Definition at line 86 of file varianceswap.hpp.
Real strike |
Definition at line 87 of file varianceswap.hpp.
Real notional |
Definition at line 88 of file varianceswap.hpp.
Date startDate |
Definition at line 89 of file varianceswap.hpp.
Date maturityDate |
Definition at line 90 of file varianceswap.hpp.