/usr/include/ql/instruments/varianceswap.hpp is in libquantlib0-dev 1.4-2+b1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2006 Warren Chou
Copyright (C) 2008 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file varianceswap.hpp
\brief Variance swap
*/
#ifndef quantlib_variance_swap_hpp
#define quantlib_variance_swap_hpp
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/option.hpp>
#include <ql/position.hpp>
namespace QuantLib {
//! Variance swap
/*! \warning This class does not manage seasoned variance swaps.
\ingroup instruments
*/
class VarianceSwap : public Instrument {
public:
class arguments;
class results;
class engine;
VarianceSwap(Position::Type position,
Real strike,
Real notional,
const Date& startDate,
const Date& maturityDate);
//! \name Instrument interface
//@{
bool isExpired() const;
//@}
//! \name Additional interface
//@{
// inspectors
Real strike() const;
Position::Type position() const;
Date startDate() const;
Date maturityDate() const;
Real notional() const;
// results
Real variance() const;
//@}
// other
void setupArguments(PricingEngine::arguments* args) const;
void fetchResults(const PricingEngine::results*) const;
protected:
void setupExpired() const;
// data members
Position::Type position_;
Real strike_;
Real notional_;
Date startDate_, maturityDate_;
// results
mutable Real variance_;
};
//! %Arguments for forward fair-variance calculation
class VarianceSwap::arguments : public virtual PricingEngine::arguments {
public:
arguments() : strike(Null<Real>()), notional(Null<Real>()) {}
void validate() const;
Position::Type position;
Real strike;
Real notional;
Date startDate;
Date maturityDate;
};
//! %Results from variance-swap calculation
class VarianceSwap::results : public Instrument::results {
public:
Real variance;
void reset() {
Instrument::results::reset();
variance = Null<Real>();
}
};
//! base class for variance-swap engines
class VarianceSwap::engine :
public GenericEngine<VarianceSwap::arguments,
VarianceSwap::results> {};
// inline definitions
inline Date VarianceSwap::startDate() const {
return startDate_;
}
inline Date VarianceSwap::maturityDate() const {
return maturityDate_;
}
inline Real VarianceSwap::strike() const {
return strike_;
}
inline Real VarianceSwap::notional() const {
return notional_;
}
inline Position::Type VarianceSwap::position() const {
return position_;
}
}
#endif
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