QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Public Attributes | List of all members
VarianceOption::arguments Class Reference

Arguments for forward fair-variance calculation More...

#include <varianceoption.hpp>

+ Inheritance diagram for VarianceOption::arguments:
+ Collaboration diagram for VarianceOption::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

ext::shared_ptr< Payoffpayoff
 
Real notional
 
Date startDate
 
Date maturityDate
 

Detailed Description

Arguments for forward fair-variance calculation

Definition at line 70 of file varianceoption.hpp.

Constructor & Destructor Documentation

◆ arguments()

arguments ( )

Definition at line 72 of file varianceoption.hpp.

Member Function Documentation

◆ validate()

void validate ( ) const
overridevirtual

Implements PricingEngine::arguments.

Definition at line 43 of file varianceoption.cpp.

Member Data Documentation

◆ payoff

ext::shared_ptr<Payoff> payoff

Definition at line 74 of file varianceoption.hpp.

◆ notional

Real notional

Definition at line 75 of file varianceoption.hpp.

◆ startDate

Date startDate

Definition at line 76 of file varianceoption.hpp.

◆ maturityDate

Date maturityDate

Definition at line 77 of file varianceoption.hpp.