Logo Search packages:      
Sourcecode: quantlib version File versions  Download package


Go to the documentation of this file.
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2006 Warren Chou
 Copyright (C) 2008 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

/*! \file varianceswap.hpp
    \brief Variance swap

#ifndef quantlib_variance_swap_hpp
#define quantlib_variance_swap_hpp

#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/option.hpp>
#include <ql/position.hpp>

namespace QuantLib {

    //! Variance swap
    /*! \warning This class does not manage seasoned variance swaps.

        \ingroup instruments
00040     class VarianceSwap : public Instrument {
        class arguments;
        class results;
        class engine;
        VarianceSwap(Position::Type position,
                     Real strike,
                     Real notional,
                     const Date& startDate,
                     const Date& maturityDate);
        //! \name Instrument interface
        bool isExpired() const;
        //! \name Additional interface
        // inspectors
        Real strike() const;
        Position::Type position() const;
        Date startDate() const;
        Date maturityDate() const;
        Real notional() const;
        // results
        Real variance() const;
        // other
        void setupArguments(PricingEngine::arguments* args) const;
        void fetchResults(const PricingEngine::results*) const;
        void setupExpired() const;
        // data members
        Position::Type position_;
        Real strike_;
        Real notional_;
        Date startDate_, maturityDate_;
        // results
        mutable Real variance_;

    //! %Arguments for forward fair-variance calculation
00081     class VarianceSwap::arguments : public virtual PricingEngine::arguments {
        arguments() : strike(Null<Real>()), notional(Null<Real>()) {}
        void validate() const;
        Position::Type position;
        Real strike;
        Real notional;
        Date startDate;
        Date maturityDate;

    //! %Results from variance-swap calculation
00094     class VarianceSwap::results : public Instrument::results {
        Real variance;
        void reset() {
            variance = Null<Real>();

    //! base class for variance-swap engines
00104     class VarianceSwap::engine :
        public GenericEngine<VarianceSwap::arguments,
                             VarianceSwap::results> {};

    // inline definitions

    inline Date VarianceSwap::startDate() const {
        return startDate_;

    inline Date VarianceSwap::maturityDate() const {
        return maturityDate_;

    inline Real VarianceSwap::strike() const {
        return strike_;

    inline Real VarianceSwap::notional() const {
        return notional_;

    inline Position::Type VarianceSwap::position() const {
        return position_;



Generated by  Doxygen 1.6.0   Back to index