VarianceOption Class Reference
[Financial instruments]
Variance option.
More...
#include <ql/experimental/varianceoption/varianceoption.hpp>
Inheritance 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 (const boost::shared_ptr< Payoff > &payoff, Real notional, const Date &startDate, const Date &maturityDate) | |
| void | setupArguments (PricingEngine::arguments *args) const |
Instrument interface | |
| bool | isExpired () const |
| returns whether the instrument might have value greater than zero. | |
Inspectors | |
| Date | startDate () const |
| Date | maturityDate () const |
| Real | notional () const |
| boost::shared_ptr< Payoff > | payoff () const |
Protected Attributes | |
| boost::shared_ptr< Payoff > | payoff_ |
| Real | notional_ |
| Date | startDate_ |
| Date | maturityDate_ |
Detailed Description
Variance option.
- Warning:
- This class does not manage seasoned variance options.
Member Function Documentation
| void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
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.