Class VarianceOption

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

An option on realized variance: at maturity it pays the notional times the payoff of the variance realized from the start date.

[Experimental("NQL0001")]
public sealed class VarianceOption : Instrument

Inheritance

object

Instrument

VarianceOption

Inherited Members

Instrument.SetupExpired()

Instrument.FetchResults(InstrumentResults)

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable. Its engines return an InstrumentResults, QuantLib's results class adding nothing to the instrument's. QuantLib doesn't manage seasoned variance options: an engine refuses a start before the evaluation date.

Constructors

VarianceOption(Payoff, double, Date, Date)

Initializes a new instance of the VarianceOption class.

public VarianceOption(Payoff payoff, double notional, Date startDate, Date maturityDate)

Parameters

payoff Payoff

The payoff on the realized variance.

notional double

The notional.

startDate Date

The start of the variance's realization.

maturityDate Date

The maturity.

Exceptions

ArgumentNullException

payoff is null.

ArgumentException

A date is the default date ("null start date given", "null maturity date given", as QuantLib's validation reads them).

Properties

MaturityDate

Gets the maturity.

public Date MaturityDate { get; }

Property Value

Date

Notional

Gets the notional.

public double Notional { get; }

Property Value

double

Payoff

Gets the payoff on the realized variance.

public Payoff Payoff { get; }

Property Value

Payoff

StartDate

Gets the start of the variance's realization.

public Date StartDate { get; }

Property Value

Date

Methods

IsExpired(EvaluationContext)

Whether the instrument might still have a value greater than zero.

public override bool IsExpired(EvaluationContext context)

Parameters

context EvaluationContext

The evaluation context.

Returns

bool

true when the instrument has expired.

Validate()

Checks the instrument's terms before an engine prices it, as QuantLib's arguments do.

public override void Validate()

Remarks

QuantLib's "no strike given", "no notional given" and the null-date checks can't fail here: the constructor holds a payoff, a value and two dates.

Exceptions

NanoQLException

The notional isn't positive ("negative or null notional given").