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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 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 varianceoption.hpp
    \brief Variance option

#ifndef quantlib_variance_option_hpp
#define quantlib_variance_option_hpp

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

namespace QuantLib {

    //! Variance option
    /*! \warning This class does not manage seasoned variance options.

        \ingroup instruments
00039     class VarianceOption : public Instrument {
        class arguments;
        class results;
        class engine;
        VarianceOption(const boost::shared_ptr<Payoff>& payoff,
                       Real notional,
                       const Date& startDate,
                       const Date& maturityDate);
        //! \name Instrument interface
        bool isExpired() const;
        //! \name Inspectors
        Date startDate() const;
        Date maturityDate() const;
        Real notional() const;
        boost::shared_ptr<Payoff> payoff() const;
        void setupArguments(PricingEngine::arguments* args) const;
        // data members
        boost::shared_ptr<Payoff> payoff_;
        Real notional_;
        Date startDate_, maturityDate_;

    //! %Arguments for forward fair-variance calculation
00069     class VarianceOption::arguments : public virtual PricingEngine::arguments {
        arguments() : notional(Null<Real>()) {}
        void validate() const;
        boost::shared_ptr<Payoff> payoff;
        Real notional;
        Date startDate;
        Date maturityDate;

    //! %Results from variance-option calculation
00081     class VarianceOption::results : public Instrument::results {};

    //! base class for variance-option engines
00084     class VarianceOption::engine :
        public GenericEngine<VarianceOption::arguments,
                             VarianceOption::results> {};

    // inline definitions

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

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

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

    inline boost::shared_ptr<Payoff> VarianceOption::payoff() const {
        return payoff_;



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