Variance option. More...
#include <ql/experimental/varianceoption/varianceoption.hpp>
 Inheritance diagram for VarianceOption:
 Inheritance diagram for VarianceOption:| Classes | |
| class | arguments | 
| Arguments for forward fair-variance calculation  More... | |
| class | engine | 
| base class for variance-option engines  More... | |
| class | results | 
| Results from variance-option calculation  More... | |
| Public Member Functions | |
| VarianceOption (const boost::shared_ptr< Payoff > &payoff, Real notional, const Date &startDate, const Date &maturityDate) | |
| void | setupArguments (PricingEngine::arguments *args) const | 
| Instrument interface | |
| bool | isExpired () const | 
| returns whether the instrument might have value greater than zero. | |
| Inspectors | |
| Date | startDate () const | 
| Date | maturityDate () const | 
| Real | notional () const | 
| boost::shared_ptr< Payoff > | payoff () const | 
|  Public Member Functions inherited from Instrument | |
| virtual void | fetchResults (const PricingEngine::results *) const | 
| Real | NPV () const | 
| returns the net present value of the instrument. | |
| Real | errorEstimate () const | 
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const | 
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const | 
| returns any additional result returned by the pricing engine. | |
| const std::map< std::string, boost::any > & | additionalResults () const | 
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) | 
| set the pricing engine to be used.  More... | |
|  Public Member Functions inherited from LazyObject | |
| void | update () | 
| void | recalculate () | 
| void | freeze () | 
| void | unfreeze () | 
| void | alwaysForwardNotifications () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
| Protected Attributes | |
| boost::shared_ptr< Payoff > | payoff_ | 
| Real | notional_ | 
| Date | startDate_ | 
| Date | maturityDate_ | 
|  Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ | 
| Real | NPV_ | 
| Real | errorEstimate_ | 
| Date | valuationDate_ | 
| std::map< std::string, boost::any > | additionalResults_ | 
|  Protected Attributes inherited from LazyObject | |
| bool | calculated_ | 
| bool | frozen_ | 
| bool | alwaysForward_ | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Protected Member Functions inherited from Instrument | |
| void | calculate () const | 
| virtual void | setupExpired () const | 
| virtual void | performCalculations () const | 
|  Protected Member Functions inherited from LazyObject | |
Variance option.
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 | virtual | 
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.