#include <VarianceSwap.h>
Public Member Functions | |
VarianceSwap (OptionStrategy *options, Real maturity, Real forwardprice) | |
Default Constructor. | |
~VarianceSwap (void) | |
Real | getPrice () |
Return price. | |
Real | getRho (Real shiftCurve=defaultshiftRate) |
Return sensitivity to a move in rates. | |
Real | getVega (Real shiftVol=defaultshiftVol) |
Return sensitivity to a move in volatility. | |
Real | getTheta (Real shiftMat=defaultshiftMat) |
Return sensitivity to a move in time. | |
Private Attributes | |
OptionStrategy * | _options |
Real | _maturity |
Real | _forward |
Definition at line 12 of file VarianceSwap.h.
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Default Constructor.
Definition at line 3 of file VarianceSwap.cpp. References Real. |
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Definition at line 10 of file VarianceSwap.cpp. |
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Return price.
Definition at line 14 of file VarianceSwap.cpp. References _forward, _options, BlackScholes::getPrice(), BlackScholes::getStrike(), Integer, BlackScholes::isCall(), Natural, Real, OptionStrategy::returnNbOptions(), and OptionStrategy::returnOption(). Referenced by getRho(), getTheta(), getVega(), and mainvarianceswap(). |
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Return sensitivity to a move in rates.
Definition at line 72 of file VarianceSwap.cpp. References _options, OptionStrategy::changeRate(), getPrice(), and Real. |
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Return sensitivity to a move in time.
Definition at line 86 of file VarianceSwap.cpp. References _options, OptionStrategy::changeMaturity(), getPrice(), and Real. |
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Return sensitivity to a move in volatility.
Definition at line 79 of file VarianceSwap.cpp. References _options, OptionStrategy::changeVol(), getPrice(), and Real. |
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Definition at line 33 of file VarianceSwap.h. Referenced by getPrice(). |
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Definition at line 33 of file VarianceSwap.h. |
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Definition at line 32 of file VarianceSwap.h. Referenced by getPrice(), getRho(), getTheta(), and getVega(). |