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< ext::shared_ptr< StrikedTypePayoff >, Real > >	weights_type
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	ReplicatingVarianceSwapEngine (ext::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 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 ()

Protected Member Functions
void	computeOptionWeights (const std::vector< Real > &, Option::Type, weights_type &optionWeights) const
Real	computeLogPayoff (Real, 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

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.