ReplicatingVarianceSwapEngine Class Reference
Variance-swap pricing engine using replicating cost,. More...
#include <ql/pricingengines/forward/replicatingvarianceswapengine.hpp>
Inheritance diagram for ReplicatingVarianceSwapEngine:

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 |
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