QuantLib_ReplicatingVarianceSwapEngine man page

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

Synopsis

#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

Tests

returned variances verified against results from literature

Author

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 Feb 10 2017 Version 1.9.1 QuantLib