Arguments for forward fair-variance calculation More...
#include <ql/instruments/varianceswap.hpp>
Inheritance diagram for VarianceSwap::arguments:
Collaboration diagram for VarianceSwap::arguments:
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 |
Detailed Description
Arguments for forward fair-variance calculation
Definition at line 82 of file varianceswap.hpp.
Constructor & Destructor Documentation
◆ arguments()
| arguments | ( | ) |
Definition at line 84 of file varianceswap.hpp.
Member Function Documentation
◆ validate()
|
overridevirtual |
Implements PricingEngine::arguments.
Definition at line 63 of file varianceswap.cpp.
Member Data Documentation
◆ position
| Position::Type position |
Definition at line 86 of file varianceswap.hpp.
◆ strike
| Real strike |
Definition at line 87 of file varianceswap.hpp.
◆ notional
| Real notional |
Definition at line 88 of file varianceswap.hpp.
◆ startDate
| Date startDate |
Definition at line 89 of file varianceswap.hpp.
◆ maturityDate
| Date maturityDate |
Definition at line 90 of file varianceswap.hpp.