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 Observer
typedef set_type::iterator	iterator
Public Types inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::path_generator_type	path_generator_type
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::path_pricer_type	path_pricer_type
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::stats_type	stats_type
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::result_type	result_type

Public Member Functions
	MCVarianceSwapEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void	calculate () const override
Public Member Functions inherited from GenericEngine< VarianceSwap::arguments, VarianceSwap::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
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 () 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
ext::shared_ptr< path_pricer_type >	pathPricer () const override
TimeGrid	timeGrid () const override
ext::shared_ptr< path_generator_type >	pathGenerator () const override
Protected Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
	McSimulation (bool antitheticVariate, bool controlVariate)
virtual ext::shared_ptr< path_pricer_type >	controlPathPricer () const
virtual ext::shared_ptr< path_generator_type >	controlPathGenerator () const
virtual ext::shared_ptr< PricingEngine >	controlPricingEngine () const
virtual result_type	controlVariateValue () const

Protected Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Size	timeSteps_
Size	timeStepsPerYear_
Size	requiredSamples_
Size	maxSamples_
Real	requiredTolerance_
bool	brownianBridge_
BigNatural	seed_
Protected Attributes inherited from GenericEngine< VarianceSwap::arguments, VarianceSwap::results >
VarianceSwap::arguments	arguments_
VarianceSwap::results	results_
Protected Attributes inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
ext::shared_ptr< MonteCarloModel< SingleVariate, PseudoRandom, Statistics > >	mcModel_
bool	antitheticVariate_
bool	controlVariate_

Additional Inherited Members
Static Protected Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
static Real	maxError (const Sequence &sequence)

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

Tests

returned fair variances checked for consistency with implied volatility curve.

Member Function Documentation

calculate()

template<class RNG = PseudoRandom, class S = Statistics>

void calculate ( ) const

overridevirtual

Implements PricingEngine.

pathPricer()

template<class RNG, class S>

ext::shared_ptr< typename MCVarianceSwapEngine< RNG, S >::path_pricer_type > pathPricer ( ) const

overrideprotectedvirtual

Implements McSimulation< SingleVariate, PseudoRandom, Statistics >.

timeGrid()

template<class RNG, class S>

TimeGrid timeGrid ( ) const

overrideprotectedvirtual

Implements McSimulation< SingleVariate, PseudoRandom, Statistics >.

pathGenerator()

template<class RNG = PseudoRandom, class S = Statistics>

ext::shared_ptr< path_generator_type > pathGenerator ( ) const

overrideprotectedvirtual

Implements McSimulation< SingleVariate, PseudoRandom, Statistics >.