PairwiseVarianceSwapEngine Class Reference

Inheritance diagram for PairwiseVarianceSwapEngine:

Public Member Functions
	PairwiseVarianceSwapEngine (const QuantLib::ext::shared_ptr< QuantLib::Index > &index1, const QuantLib::ext::shared_ptr< QuantLib::Index > &index2, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process1, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process2, const Handle< YieldTermStructure > &discountingTS, Handle< Quote > correlation)
void	calculate () const override

Protected Member Functions
Variances	calculateVariances (const Schedule &valuationSchedule, const Schedule &laggedValuationSchedule, const Date &evalDate) const

Protected Attributes
QuantLib::ext::shared_ptr< Index >	index1_
QuantLib::ext::shared_ptr< Index >	index2_
QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess >	process1_
QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess >	process2_
Handle< YieldTermStructure >	discountingTS_
Handle< Quote >	correlation_