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QuantLib_ReplicatingVarianceSwapEngine
Langue: en
Version: 375755 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::ReplicatingVarianceSwapEngine -Variance-swap pricing engine using replicating cost,.
SYNOPSIS
#include <ql/pricingengines/forward/replicatingvarianceswapengine.hpp>
Inherits QuantLib::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
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
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