VolatilityFromVarianceSwapEngine Class Reference

#include <qle/pricingengines/volatilityfromvarianceswapengine.hpp>

Inheritance diagram for VolatilityFromVarianceSwapEngine:

Collaboration diagram for VolatilityFromVarianceSwapEngine:

Public Member Functions
void	calculate () const override
	GeneralisedReplicatingVarianceSwapEngine (const QuantLib::ext::shared_ptr< QuantLib::Index > &index, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &discountingTS, const VarSwapSettings settings=VarSwapSettings(), const bool staticTodaysSpot=true)
Public Member Functions inherited from GeneralisedReplicatingVarianceSwapEngine
	GeneralisedReplicatingVarianceSwapEngine (const QuantLib::ext::shared_ptr< QuantLib::Index > &index, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &discountingTS, const VarSwapSettings settings=VarSwapSettings(), const bool staticTodaysSpot=true)
void	calculate () const override

Additional Inherited Members
Protected Member Functions inherited from GeneralisedReplicatingVarianceSwapEngine
Real	calculateAccruedVariance (const Calendar &jointCal) const
Real	calculateFutureVariance (const Date &maturity) const
Protected Attributes inherited from GeneralisedReplicatingVarianceSwapEngine
QuantLib::ext::shared_ptr< Index >	index_
QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Handle< YieldTermStructure >	discountingTS_
VarSwapSettings	settings_
bool	staticTodaysSpot_
Real	cachedTodaysSpot_ = Null<Real>()

Detailed Description

Definition at line 32 of file volatilityfromvarianceswapengine.hpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 28 of file volatilityfromvarianceswapengine.cpp.

                                                       {
 
    GeneralisedReplicatingVarianceSwapEngine::calculate();
 
    const DiscountFactor df = discountingTS_->discount(arguments_.maturityDate);
    const Real multiplier = arguments_.position == Position::Long ? 1.0 : -1.0;
    const Real volatility = sqrt(boost::any_cast<Real>(results_.additionalResults.at("totalVariance")));
    const Real volatilityStrike = sqrt(arguments_.strike);
 
    results_.value = multiplier * df * arguments_.notional * 100.0 * (volatility - volatilityStrike);
}

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GeneralisedReplicatingVarianceSwapEngine()

GeneralisedReplicatingVarianceSwapEngine	(	const QuantLib::ext::shared_ptr< QuantLib::Index > &	index,
		const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		const Handle< YieldTermStructure > &	discountingTS,
		const VarSwapSettings	settings = VarSwapSettings(),
		const bool	staticTodaysSpot = true
	)

Definition at line 79 of file varianceswapgeneralreplicationengine.cpp.

    : index_(index), process_(process), discountingTS_(discountingTS), settings_(settings),
      staticTodaysSpot_(staticTodaysSpot) {
 
    QL_REQUIRE(process_, "Black-Scholes process not present.");
 
    registerWith(process_);
    registerWith(discountingTS_);
}