- QuantLib
- ReplicatingVarianceSwapEngine
 
Variance-swap pricing engine using replicating cost,. More...
#include <ql/pricingengines/forward/replicatingvarianceswapengine.hpp>

| 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 | 
Variance-swap pricing engine using replicating cost,.
as described in Demeterfi, Derman, Kamal & Zou, "A Guide to Volatility and Variance Swaps", 1999