VolatilityFromVarianceSwapEngine Class Reference

Inheritance diagram for VolatilityFromVarianceSwapEngine:

Public Member Functions
void	calculate () const override
	GeneralisedReplicatingVarianceSwapEngine (const QuantLib::ext::shared_ptr< QuantLib::Index > &index, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &discountingTS, const VarSwapSettings settings=VarSwapSettings(), const bool staticTodaysSpot=true)
Public Member Functions inherited from GeneralisedReplicatingVarianceSwapEngine
	GeneralisedReplicatingVarianceSwapEngine (const QuantLib::ext::shared_ptr< QuantLib::Index > &index, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &discountingTS, const VarSwapSettings settings=VarSwapSettings(), const bool staticTodaysSpot=true)
void	calculate () const override

Additional Inherited Members
Protected Member Functions inherited from GeneralisedReplicatingVarianceSwapEngine
Real	calculateAccruedVariance (const Calendar &jointCal) const
Real	calculateFutureVariance (const Date &maturity) const
Protected Attributes inherited from GeneralisedReplicatingVarianceSwapEngine
QuantLib::ext::shared_ptr< Index >	index_
QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Handle< YieldTermStructure >	discountingTS_
VarSwapSettings	settings_
bool	staticTodaysSpot_
Real	cachedTodaysSpot_ = Null<Real>()