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

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
- Todo:
- define tolerance of numerical integral and incorporate it in errorEstimate
- Tests:
- returned fair variances checked for consistency with implied volatility curve.
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 Member Functions | |
MCVarianceSwapEngine (Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
void | calculate () const |
Protected Member Functions | |
boost::shared_ptr< path_pricer_type > | pathPricer () const |
TimeGrid | timeGrid () const |
boost::shared_ptr< path_generator_type > | pathGenerator () const |
Protected Attributes | |
Size | timeSteps_ |
Size | timeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
Real | requiredTolerance_ |
bool | brownianBridge_ |
BigNatural | seed_ |