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VarianceSwap.h

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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;

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