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<title>QuantLib: ReplicatingVarianceSwapEngine Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_replicating_variance_swap_engine.html">ReplicatingVarianceSwapEngine</a></div>
<h1>ReplicatingVarianceSwapEngine Class Reference<br>
<small>
[<a class="el" href="group__forwardengines.html">Forward option engines</a>]</small>
</h1><!-- doxytag: class="QuantLib::ReplicatingVarianceSwapEngine" --><!-- doxytag: inherits="QuantLib::VarianceSwap::engine" --><code>#include <ql/pricingengines/forward/replicatingvarianceswapengine.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for ReplicatingVarianceSwapEngine:</div>
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<p><center><img src="class_quant_lib_1_1_replicating_variance_swap_engine__inherit__graph.png" border="0" usemap="#_replicating_variance_swap_engine__inherit__map" alt="Inheritance graph"></center>
<map name="_replicating_variance_swap_engine__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_variance_swap_1_1engine.html" title="base class for variance-swap engines" alt="" coords="85,7,149,33"></map>
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<a href="class_quant_lib_1_1_replicating_variance_swap_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Variance-swap pricing engine using replicating cost,.
<p>
as described in Demeterfi, Derman, Kamal & Zou, "A Guide to Volatility and Variance Swaps", 1999<p>
<dl compact><dt><b><a class="el" href="test.html#_test000088">Tests:</a></b></dt><dd>returned fair variances verified against results from literature </dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7a47606531bcf07cd74317b5ef7906ca"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::StrikesType" ref="7a47606531bcf07cd74317b5ef7906ca" args="" -->
typedef std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>StrikesType</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="817c6c4e5a322364aaa3b09a68a5c67d"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::ReplicatingVarianceSwapEngine" ref="817c6c4e5a322364aaa3b09a68a5c67d" args="(const Real dk=5.0, const StrikesType &callStrikes=StrikesType(), const StrikesType &putStrikes=StrikesType())" -->
</td><td class="memItemRight" valign="bottom"><b>ReplicatingVarianceSwapEngine</b> (const <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> dk=5.0, const StrikesType &callStrikes=StrikesType(), const StrikesType &putStrikes=StrikesType())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::calculate" ref="10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="546934364ef3f0760ab9a7ab9b5be3bd"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::computeOptionWeights" ref="546934364ef3f0760ab9a7ab9b5be3bd" args="(const StrikesType &, const Option::Type) const " -->
void </td><td class="memItemRight" valign="bottom"><b>computeOptionWeights</b> (const StrikesType &, const Option::Type) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="eff2f095487d4038740643f6babec50e"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::computeLogPayoff" ref="eff2f095487d4038740643f6babec50e" args="(const Real, const Real) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>computeLogPayoff</b> (const <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, const <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0c83ce8688e51a262fca38b3a71c8308"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::computeReplicatingPortfolio" ref="0c83ce8688e51a262fca38b3a71c8308" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>computeReplicatingPortfolio</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ec4742c5ccf23463c537d0e7d6990607"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::riskFreeRate" ref="ec4742c5ccf23463c537d0e7d6990607" args="() const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>riskFreeRate</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4d3c06d01e8a68c61fc773da70ab5815"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::riskFreeDiscount" ref="4d3c06d01e8a68c61fc773da70ab5815" args="() const " -->
<a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><b>riskFreeDiscount</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c49ad98a633b66a7a9ddf330a0d064d8"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::underlying" ref="c49ad98a633b66a7a9ddf330a0d064d8" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>underlying</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="384e61b69dd2e190b4041246b725e00c"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::residualTime" ref="384e61b69dd2e190b4041246b725e00c" args="() const " -->
<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>residualTime</b> () const </td></tr>
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