VarianceOption Class Reference

Variance option. More...

#include <varianceoption.hpp>

Inheritance diagram for VarianceOption:

Collaboration diagram for VarianceOption:

Classes
class	arguments
	Arguments for forward fair-variance calculation More...
class	engine
	base class for variance-option engines More...
class	results
	Results from variance-option calculation More...

Public Member Functions
	VarianceOption (ext::shared_ptr< Payoff > payoff, 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...
virtual void	fetchResults (const PricingEngine::results *) const
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 ()

Inspectors
ext::shared_ptr< Payoff >	payoff_
Real	notional_
Date	startDate_
Date	maturityDate_
Date	startDate () const
Date	maturityDate () const
Real	notional () const
ext::shared_ptr< Payoff >	payoff () const
void	setupArguments (PricingEngine::arguments *args) 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
virtual void	setupExpired () const
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 option.

Warning:

This class does not manage seasoned variance options.

Definition at line 39 of file varianceoption.hpp.

Constructor & Destructor Documentation

VarianceOption()

VarianceOption	(	ext::shared_ptr< Payoff >	payoff,
		Real	notional,
		const Date &	startDate,
		const Date &	maturityDate
	)

Definition at line 26 of file varianceoption.cpp.

Member Function Documentation

isExpired()

bool isExpired ( ) const

overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

Definition at line 51 of file varianceoption.cpp.

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startDate()

Date startDate

(

)

const

Definition at line 92 of file varianceoption.hpp.

maturityDate()

Date maturityDate

(

)

const

Definition at line 96 of file varianceoption.hpp.

notional()

Real notional

(

)

const

Definition at line 100 of file varianceoption.hpp.

payoff()

ext::shared_ptr< Payoff > payoff

(

)

const

Definition at line 104 of file varianceoption.hpp.

setupArguments()

void setupArguments ( PricingEngine::arguments *  ) const

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 33 of file varianceoption.cpp.

Member Data Documentation

payoff_

ext::shared_ptr<Payoff> payoff_

protected

Definition at line 63 of file varianceoption.hpp.

notional_

Real notional_

protected

Definition at line 64 of file varianceoption.hpp.

startDate_

Date startDate_

protected

Definition at line 65 of file varianceoption.hpp.

maturityDate_

Date maturityDate_

protected

Definition at line 65 of file varianceoption.hpp.