Searched refs:VarianceSwap (Results 1 – 5 of 5) sorted by relevance
40 class VarianceSwap : public Instrument { class45 VarianceSwap(Position::Type position,94 class VarianceSwap::results : public Instrument::results {104 class VarianceSwap::engine :105 public GenericEngine<VarianceSwap::arguments,106 VarianceSwap::results> {};111 inline Date VarianceSwap::startDate() const { in startDate()115 inline Date VarianceSwap::maturityDate() const { in maturityDate()119 inline Real VarianceSwap::strike() const { in strike()123 inline Real VarianceSwap::notional() const { in notional()[all …]
26 VarianceSwap::VarianceSwap( in VarianceSwap() function in QuantLib::VarianceSwap35 Real VarianceSwap::variance() const { in variance()41 void VarianceSwap::setupExpired() const { in setupExpired()46 void VarianceSwap::setupArguments(PricingEngine::arguments* args) const { in setupArguments()47 VarianceSwap::arguments* arguments = in setupArguments()48 dynamic_cast<VarianceSwap::arguments*>(args); in setupArguments()58 void VarianceSwap::fetchResults(const PricingEngine::results* r) const { in fetchResults()60 const VarianceSwap::results* results = in fetchResults()61 dynamic_cast<const VarianceSwap::results*>(r); in fetchResults()65 void VarianceSwap::arguments::validate() const { in validate()[all …]
205 VarianceSwap varianceSwap(values[i].type, in testReplicatingVarianceSwap()285 VarianceSwap varianceSwap(values[i].type, in testMCVarianceSwap()
43 class ReplicatingVarianceSwapEngine : public VarianceSwap::engine {
47 class MCVarianceSwapEngine : public VarianceSwap::engine,