- QuantLib
- VarianceOption
Variance option. More...
#include <ql/experimental/varianceoption/varianceoption.hpp>
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_ |
Variance option.
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.