00001 #pragma once 00002 00003 #ifndef VARIANCESWAP_H 00004 #define VARIANCESWAP_H 00005 00006 #include "../PartA/BlackScholes/OptionStrategy.h" 00007 00012 class VarianceSwap 00013 { 00014 public: 00020 VarianceSwap(OptionStrategy* options,Real maturity, Real forwardprice); 00021 ~VarianceSwap(void); 00023 Real getPrice(); 00025 Real getRho(Real shiftCurve=defaultshiftRate); 00027 Real getVega(Real shiftVol=defaultshiftVol); 00029 Real getTheta(Real shiftMat=defaultshiftMat); 00030 00031 private: 00032 OptionStrategy* _options; 00033 Real _maturity,_forward; 00034 }; 00035 00036 #endif;