Pairwise Variance swap. More...

#include <qle/instruments/pairwisevarianceswap.hpp>

Inheritance diagram for PairwiseVarianceSwap:

Classes
class	arguments
	Arguments More...
class	results
	Results from pairwise variance-swap calculation More...
class	engine
	base class for pairwise variance-swap engines 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