ReplicatingVarianceSwapEngine Class Reference

Variance-swap pricing engine using replicating cost,. More...

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

Inheritance diagram for ReplicatingVarianceSwapEngine:

List of all members.

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