weights_type (3) - Linux Manuals

weights_type: Variance-swap pricing engine using replicating cost,.


QuantLib::ReplicatingVarianceSwapEngine - Variance-swap pricing engine using replicating cost,.


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

Inherits QuantLib::VarianceSwap::engine.

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


returned variances verified against results from literature


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