PairwiseVarianceSwap::arguments Class Reference

Arguments More...

#include <qle/instruments/pairwisevarianceswap.hpp>

Inheritance diagram for PairwiseVarianceSwap::arguments:

Public Member Functions
void	validate () const override

Public Attributes
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

Detailed Description

Arguments