GeneralisedReplicatingVarianceSwapEngine Class Reference

Inheritance diagram for GeneralisedReplicatingVarianceSwapEngine:

Classes
class	VarSwapSettings

Public Member Functions
	GeneralisedReplicatingVarianceSwapEngine (const boost::shared_ptr< QuantLib::Index > &index, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &discountingTS, const VarSwapSettings settings=VarSwapSettings(), const bool staticTodaysSpot=true)
void	calculate () const override

Protected Member Functions
Real	calculateAccruedVariance (const Calendar &jointCal) const
Real	calculateFutureVariance (const Date &maturity) const

Protected Attributes
boost::shared_ptr< Index >	index_
boost::shared_ptr< GeneralizedBlackScholesProcess >	process_
Handle< YieldTermStructure >	discountingTS_
VarSwapSettings	settings_
bool	staticTodaysSpot_
Real	cachedTodaysSpot_ = Null<Real>()