ReplicatingVarianceSwapEngine Class Reference
[Forward option engines]

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

Inheritance diagram for ReplicatingVarianceSwapEngine:

Inheritance graph
[legend]
List of all members.

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 fair variances verified against results from literature


Public Types

typedef std::vector< Real > StrikesType

Public Member Functions

 ReplicatingVarianceSwapEngine (const Real dk=5.0, const StrikesType &callStrikes=StrikesType(), const StrikesType &putStrikes=StrikesType(), const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())
void calculate () const

Protected Member Functions

void computeOptionWeights (const StrikesType &, const Option::Type) const
Real computeLogPayoff (const Real, const Real) const
Real computeReplicatingPortfolio () const
Rate riskFreeRate () const
DiscountFactor riskFreeDiscount () const
Real underlying () const
Time residualTime () const