MCVarianceSwapEngine< RNG, S > Class Template Reference

Variance-swap pricing engine using Monte Carlo simulation,. More...

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

Inheritance diagram for MCVarianceSwapEngine< RNG, S >:

Public Types

typedef McSimulation
< SingleVariate, RNG, S >
::path_generator_type 
path_generator_type
 
typedef McSimulation
< SingleVariate, RNG, S >
::path_pricer_type 
path_pricer_type
 
typedef McSimulation
< SingleVariate, RNG, S >
::stats_type 
stats_type
 
- Public Types inherited from McSimulation< SingleVariate, RNG, S >
typedef MonteCarloModel
< SingleVariate, RNG, S >
::path_generator_type 
path_generator_type
 
typedef MonteCarloModel
< SingleVariate, RNG, S >
::path_pricer_type 
path_pricer_type
 
typedef MonteCarloModel
< SingleVariate, RNG, S >
::stats_type 
stats_type
 
typedef MonteCarloModel
< SingleVariate, RNG, S >
::result_type 
result_type
 

Public Member Functions

 MCVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
 
void calculate () const
 
- Public Member Functions inherited from McSimulation< SingleVariate, RNG, S >
result_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
 add samples until the required absolute tolerance is reached
 
result_type valueWithSamples (Size samples) const
 simulate a fixed number of samples
 
result_type errorEstimate () const
 error estimated using the samples simulated so far
 
const stats_type & sampleAccumulator (void) const
 access to the sample accumulator for richer statistics
 
void calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
 basic calculate method provided to inherited pricing engines
 

Protected Member Functions

boost::shared_ptr
< path_pricer_type > 
pathPricer () const
 
TimeGrid timeGrid () const
 
boost::shared_ptr
< path_generator_type > 
pathGenerator () const
 
- Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
 McSimulation (bool antitheticVariate, bool controlVariate)
 
virtual boost::shared_ptr
< path_pricer_type
controlPathPricer () const
 
virtual boost::shared_ptr
< path_generator_type
controlPathGenerator () const
 
virtual boost::shared_ptr
< PricingEngine
controlPricingEngine () const
 
virtual result_type controlVariateValue () const
 

Protected Attributes

boost::shared_ptr
< GeneralizedBlackScholesProcess
process_
 
Size timeSteps_
 
Size timeStepsPerYear_
 
Size requiredSamples_
 
Size maxSamples_
 
Real requiredTolerance_
 
bool brownianBridge_
 
BigNatural seed_
 
- Protected Attributes inherited from McSimulation< SingleVariate, RNG, S >
boost::shared_ptr
< MonteCarloModel
< SingleVariate, RNG, S > > 
mcModel_
 
bool antitheticVariate_
 
bool controlVariate_
 

Additional Inherited Members

- Static Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
static Real maxError (const Sequence &sequence)
 
static Real maxError (Real error)
 

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCVarianceSwapEngine< RNG, S >

Variance-swap pricing engine using Monte Carlo simulation,.

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

Possible enhancements:
define tolerance of numerical integral and incorporate it in errorEstimate
Tests:
returned fair variances checked for consistency with implied volatility curve.