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

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

Fri Sep 23 2016 Version 1.8.1 QuantLib