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
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< VarianceSwap::arguments, VarianceSwap::results >
VarianceSwap::arguments arguments_
 
VarianceSwap::results results_
 

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