VarianceSwap::arguments Class Reference

Arguments for forward fair-variance calculation More...

#include <varianceswap.hpp>

Inheritance diagram for VarianceSwap::arguments:

Collaboration diagram for VarianceSwap::arguments:

Public Member Functions
	arguments ()
void	validate () const override
Public Member Functions inherited from PricingEngine::arguments
virtual	~arguments ()=default
virtual void	validate () const =0

Public Attributes
Position::Type	position
Real	strike
Real	notional
Date	startDate
Date	maturityDate

Detailed Description

Arguments for forward fair-variance calculation

Definition at line 82 of file varianceswap.hpp.

Constructor & Destructor Documentation

arguments()

arguments

(

)

Definition at line 84 of file varianceswap.hpp.

Member Function Documentation

validate()

void validate ( ) const

overridevirtual

Implements PricingEngine::arguments.

Definition at line 63 of file varianceswap.cpp.

Member Data Documentation

position

Position::Type position

Definition at line 86 of file varianceswap.hpp.

strike

Real strike

Definition at line 87 of file varianceswap.hpp.

notional

Real notional

Definition at line 88 of file varianceswap.hpp.

startDate

Date startDate

Definition at line 89 of file varianceswap.hpp.

maturityDate

Date maturityDate

Definition at line 90 of file varianceswap.hpp.