Variance-swap pricing engine using replicating cost,. More...
#include <ql/pricingengines/forward/replicatingvarianceswapengine.hpp>
Inheritance diagram for ReplicatingVarianceSwapEngine: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 |
Public Member Functions inherited from GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
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 |
Additional Inherited Members | |
Protected Attributes inherited from GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | |
| VarianceSwap::arguments | arguments_ |
| VarianceSwap::results | results_ |
Variance-swap pricing engine using replicating cost,.
as described in Demeterfi, Derman, Kamal & Zou, "A Guide to Volatility and Variance Swaps", 1999