volatilityfromvarianceswapengine.cpp

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/*
  Copyright (C) 2019 Quaternion Risk Management Ltd
  All rights reserved.
 
  This file is part of ORE, a free-software/open-source library
  for transparent pricing and risk analysis - http://opensourcerisk.org
  
  ORE is free software: you can redistribute it and/or modify it
  under the terms of the Modified BSD License.  You should have received a
  copy of the license along with this program.
  The license is also available online at <http://opensourcerisk.org>
  
  This program is distributed on the basis that it will form a useful
  contribution to risk analytics and model standardisation, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
  FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file qle/pricingengines/volatilityfromvarianceswapengine.cpp
    \brief volatility swap engine
    \ingroup engines
*/
 
#include <qle/pricingengines/volatilityfromvarianceswapengine.hpp>
 
namespace QuantExt {
 
void VolatilityFromVarianceSwapEngine::calculate() const {
 
    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);
}
 
} // namespace QuantExt