ReplicatingVarianceSwapEngine Class Reference
[Forward option engines]
#include <ql/pricingengines/forward/replicatingvarianceswapengine.hpp>
Inheritance diagram for ReplicatingVarianceSwapEngine:

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 |