Main Page | Namespace List | Class Hierarchy | Class List | File List | Class Members | File Members

VarianceSwap Class Reference

#include <VarianceSwap.h>

List of all members.

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


Detailed Description

Author:
Simon

Definition at line 12 of file VarianceSwap.h.


Constructor & Destructor Documentation

VarianceSwap::VarianceSwap OptionStrategy options,
Real  maturity,
Real  forwardprice
 

Default Constructor.

Parameters:
options: pointer to a basket of options to price the swap
maturity: maturity of the swap
forwardprice: forward value of the underlying = S0*exp(r*T)

Definition at line 3 of file VarianceSwap.cpp.

References Real.

VarianceSwap::~VarianceSwap void   ) 
 

Definition at line 10 of file VarianceSwap.cpp.


Member Function Documentation

Real VarianceSwap::getPrice  ) 
 

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().

Real VarianceSwap::getRho Real  shiftCurve = defaultshiftRate  ) 
 

Return sensitivity to a move in rates.

Definition at line 72 of file VarianceSwap.cpp.

References _options, OptionStrategy::changeRate(), getPrice(), and Real.

Real VarianceSwap::getTheta Real  shiftMat = defaultshiftMat  ) 
 

Return sensitivity to a move in time.

Definition at line 86 of file VarianceSwap.cpp.

References _options, OptionStrategy::changeMaturity(), getPrice(), and Real.

Real VarianceSwap::getVega Real  shiftVol = defaultshiftVol  ) 
 

Return sensitivity to a move in volatility.

Definition at line 79 of file VarianceSwap.cpp.

References _options, OptionStrategy::changeVol(), getPrice(), and Real.


Member Data Documentation

Real VarianceSwap::_forward [private]
 

Definition at line 33 of file VarianceSwap.h.

Referenced by getPrice().

Real VarianceSwap::_maturity [private]
 

Definition at line 33 of file VarianceSwap.h.

OptionStrategy* VarianceSwap::_options [private]
 

Definition at line 32 of file VarianceSwap.h.

Referenced by getPrice(), getRho(), getTheta(), and getVega().


The documentation for this class was generated from the following files:
Note: Generated nightly - reload for latest version
Generated on Thu Dec 22 23:12:40 2005 for terreneuve by doxygen 1.3.6