PairwiseVarianceSwap::results Class Reference

Results from pairwise variance-swap calculation More...

#include <qle/instruments/pairwisevarianceswap.hpp>

Inheritance diagram for PairwiseVarianceSwap::results:

Public Member Functions
void	reset () override

Public Attributes
Real	variance1
Real	finalVariance1
Real	variance2
Real	finalVariance2
Real	basketVariance
Real	finalBasketVariance
Real	equityAmount1
Real	equityAmount2
Real	equityAmountBasket
Real	pairwiseEquityAmount
Real	finalEquityAmount

Detailed Description

Results from pairwise variance-swap calculation