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<li class="navelem"><a class="el" href="class_quant_lib_1_1_replicating_variance_swap_engine.html">ReplicatingVarianceSwapEngine</a> </li>
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<a href="#pub-types">Public Types</a> |
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<a href="#pro-methods">Protected Member Functions</a> </div>
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<div class="title">ReplicatingVarianceSwapEngine Class Reference<div class="ingroups"><a class="el" href="group__forwardengines.html">Forward option engines</a></div></div> </div>
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<!-- doxytag: class="QuantLib::ReplicatingVarianceSwapEngine" --><!-- doxytag: inherits="QuantLib::VarianceSwap::engine" -->
<p>Variance-swap pricing engine using replicating cost,.
<a href="class_quant_lib_1_1_replicating_variance_swap_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/forward/replicatingvarianceswapengine.hpp></code></p>
<div class="dynheader">
Inheritance diagram for ReplicatingVarianceSwapEngine:</div>
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<div class="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"/></div>
<map name="_replicating_variance_swap_engine_inherit__map" id="_replicating_variance_swap_engine_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_variance_swap_1_1engine.html" title="base class for variance-swap engines" alt="" coords="79,6,137,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_replicating_variance_swap_engine-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae4c21c3b5d3bff2b0fd3ff7d115b85d0"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::weights_type" ref="ae4c21c3b5d3bff2b0fd3ff7d115b85d0" args="" -->
typedef std::vector< std::pair<br class="typebreak"/>
< boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> >, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > </td><td class="memItemRight" valign="bottom"><b>weights_type</b></td></tr>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a66146cf9cddfc1a3a786cde6870395d4"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::ReplicatingVarianceSwapEngine" ref="a66146cf9cddfc1a3a786cde6870395d4" args="(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 >())" -->
 </td><td class="memItemRight" valign="bottom"><b>ReplicatingVarianceSwapEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &process, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> dk=5.0, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &callStrikes=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &putStrikes=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::calculate" ref="a10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad759b41aa1bcee3f69b104b5c24d6e83"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::computeOptionWeights" ref="ad759b41aa1bcee3f69b104b5c24d6e83" args="(const std::vector< Real > &, const Option::Type, weights_type &optionWeights) const " -->
void </td><td class="memItemRight" valign="bottom"><b>computeOptionWeights</b> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &, const Option::Type, weights_type &optionWeights) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aeff2f095487d4038740643f6babec50e"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::computeLogPayoff" ref="aeff2f095487d4038740643f6babec50e" args="(const Real, const Real) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>computeLogPayoff</b> (const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a93d4c2fb8fba4bc25d52ee258d04fe8b"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::computeReplicatingPortfolio" ref="a93d4c2fb8fba4bc25d52ee258d04fe8b" args="(const weights_type &optionWeights) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>computeReplicatingPortfolio</b> (const weights_type &optionWeights) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aec4742c5ccf23463c537d0e7d6990607"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::riskFreeRate" ref="aec4742c5ccf23463c537d0e7d6990607" args="() const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>riskFreeRate</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4d3c06d01e8a68c61fc773da70ab5815"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::riskFreeDiscount" ref="a4d3c06d01e8a68c61fc773da70ab5815" args="() const " -->
<a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><b>riskFreeDiscount</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac49ad98a633b66a7a9ddf330a0d064d8"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::underlying" ref="ac49ad98a633b66a7a9ddf330a0d064d8" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>underlying</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a384e61b69dd2e190b4041246b725e00c"></a><!-- doxytag: member="QuantLib::ReplicatingVarianceSwapEngine::residualTime" ref="a384e61b69dd2e190b4041246b725e00c" args="() const " -->
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>residualTime</b> () const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Variance-swap pricing engine using replicating cost,. </p>
<p>as described in Demeterfi, Derman, Kamal & Zou, "A Guide to Volatility and Variance Swaps", 1999</p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000104">Tests:</a></b></dt><dd>returned variances verified against results from literature </dd></dl>
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