- 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.