QuantLib_ReplicatingVarianceSwapEngine man page

ReplicatingVarianceSwapEngine — Variance-swap pricing engine using replicating cost,.  


#include <ql/pricingengines/forward/replicatingvarianceswapengine.hpp>

Inherits VarianceSwap::engine.

Public Types

typedef std::vector< std::pair< boost::shared_ptr< StrikedTypePayoff >, Real > > weights_type

Public Member Functions

ReplicatingVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real dk=5.0, const std::vector< Real > &callStrikes=std::vector< Real >(), const std::vector< Real > &putStrikes=std::vector< Real >())
void calculate () const

Protected Member Functions

void computeOptionWeights (const std::vector< Real > &, const Option::Type, weights_type &optionWeights) const
Real computeLogPayoff (const Real, const Real) const
Real computeReplicatingPortfolio (const weights_type &optionWeights) const
Rate riskFreeRate () const
DiscountFactor riskFreeDiscount () const
Real underlying () const
Time residualTime () const

Additional Inherited Members

Detailed Description

Variance-swap pricing engine using replicating cost,.

as described in Demeterfi, Derman, Kamal & Zou, 'A Guide to Volatility and Variance Swaps', 1999


returned variances verified against results from literature


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages computeLogPayoff(3), computeOptionWeights(3), computeReplicatingPortfolio(3), ReplicatingVarianceSwapEngine(3), residualTime(3), riskFreeDiscount(3) and weights_type(3) are aliases of QuantLib_ReplicatingVarianceSwapEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib