VarianceSwap Class Reference

### A free/open-source library for quantitative finance

Classes | Public Member Functions | Protected Member Functions | Protected Attributes
VarianceSwap Class Reference
Financial instruments

Variance swap. More...

`#include <ql/instruments/varianceswap.hpp>`

Inheritance diagram for VarianceSwap:
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List of all members.

## Classes
class | arguments
| Arguments for forward fair-variance calculation More...
class | engine
| base class for variance-swap engines More...
class | results
| Results from variance-swap calculation More...
## Public Member Functions
| VarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate)
void | setupArguments (PricingEngine::arguments *args) const
void | fetchResults (const PricingEngine::results *) const
Instrument interface
bool | isExpired () const
| returns whether the instrument might have value greater than zero.
Additional interface
Real | strike () const
Position::Type | position () const
Date | startDate () const
Date | maturityDate () const
Real | notional () const
Real | variance () const
## Protected Member Functions
void | setupExpired () const
## Protected Attributes
Position::Type | position_
Real | strike_
Real | notional_
Date | startDate_
Date | maturityDate_
Real | variance_

## Detailed Description

Variance swap.

Warning:
  This class does not manage seasoned variance swaps.

## 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.

void fetchResults | ( | const PricingEngine::results * | r | ) | const`[virtual]`

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void setupExpired | ( |  | ) | const`[protected, virtual]`

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.