Pairwise Variance swap. More...

#include <qle/instruments/pairwisevarianceswap.hpp>

Inheritance diagram for PairwiseVarianceSwap:

Classes
class	arguments
	Arguments More...

class	engine
	base class for pairwise variance-swap engines More...

class	results
	Results from pairwise variance-swap calculation More...

Public Member Functions
	PairwiseVarianceSwap (const Position::Type position, const Real strike1, const Real strike2, const Real basketStrike, const Real notional1, const Real notional2, const Real basketNotional, const Real cap, const Real floor, const Real payoffLimit, const int accrualLag, const Schedule valuationSchedule, const Schedule laggedValuationSchedule, const Date settlementDate)

Instrument interface
bool	isExpired () const override

Additional interface
Position::Type	position_

Real	strike1_

Real	strike2_

Real	basketStrike_

Real	notional1_

Real	notional2_

Real	basketNotional_

Real	cap_

Real	floor_

Real	payoffLimit_

int	accrualLag_

Schedule	valuationSchedule_

Schedule	laggedValuationSchedule_

Date	settlementDate_

Real	variance1_

Real	finalVariance1_

Real	variance2_

Real	finalVariance2_

Real	basketVariance_

Real	finalBasketVariance_

Position::Type	position () const

Real	strike1 () const

Real	strike2 () const

Real	basketStrike () const

Real	notional1 () const

Real	notional2 () const

Real	basketNotional () const

Real	cap () const

Real	floor () const

Real	payoffLimit () const

int	accrualLag () const

Schedule	valuationSchedule () const

Schedule	laggedValuationSchedule () const

Date	settlementDate () const

Real	variance1 () const

Real	variance2 () const

Real	basketVariance () const

void	setupArguments (PricingEngine::arguments *args) const override

void	fetchResults (const PricingEngine::results *) const override

void	setupExpired () const override

Detailed Description

Pairwise Variance swap.

Classes