1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: ReplicatingVarianceSwapEngine Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<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>
<div class="dynsection">
<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>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<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>
</table>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|