MCVarianceSwapEngine< RNG, S > Class Template Reference

Variance-swap pricing engine using Monte Carlo simulation,. More...

#include <mcvarianceswapengine.hpp>

Inheritance diagram for MCVarianceSwapEngine< RNG, S >:

Collaboration diagram for MCVarianceSwapEngine< RNG, S >:

Public Types
typedef McSimulation< SingleVariate, RNG, S >::path_generator_type	path_generator_type
typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type	path_pricer_type
typedef McSimulation< SingleVariate, RNG, S >::stats_type	stats_type
Public Types inherited from Observer
typedef set_type::iterator	iterator
Public Types inherited from McSimulation< MC, RNG, S >
typedef MonteCarloModel< MC, RNG, S >::path_generator_type	path_generator_type
typedef MonteCarloModel< MC, RNG, S >::path_pricer_type	path_pricer_type
typedef MonteCarloModel< MC, RNG, S >::stats_type	stats_type
typedef MonteCarloModel< MC, RNG, S >::result_type	result_type

Public Member Functions
	MCVarianceSwapEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void	calculate () const override
Public Member Functions inherited from GenericEngine< VarianceSwap::arguments, VarianceSwap::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
virtual void	reset ()=0
virtual void	calculate () const =0
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from McSimulation< MC, RNG, S >
virtual	~McSimulation ()=default
result_type	value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
	add samples until the required absolute tolerance is reached More...
result_type	valueWithSamples (Size samples) const
	simulate a fixed number of samples More...
result_type	errorEstimate () const
	error estimated using the samples simulated so far More...
const stats_type &	sampleAccumulator () const
	access to the sample accumulator for richer statistics More...
void	calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
	basic calculate method provided to inherited pricing engines More...

Protected Member Functions
ext::shared_ptr< path_pricer_type >	pathPricer () const override
TimeGrid	timeGrid () const override
ext::shared_ptr< path_generator_type >	pathGenerator () const override
Protected Member Functions inherited from McSimulation< MC, RNG, S >
	McSimulation (bool antitheticVariate, bool controlVariate)
virtual ext::shared_ptr< path_pricer_type >	pathPricer () const =0
virtual ext::shared_ptr< path_generator_type >	pathGenerator () const =0
virtual TimeGrid	timeGrid () const =0
virtual ext::shared_ptr< path_pricer_type >	controlPathPricer () const
virtual ext::shared_ptr< path_generator_type >	controlPathGenerator () const
virtual ext::shared_ptr< PricingEngine >	controlPricingEngine () const
virtual result_type	controlVariateValue () const

Protected Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Size	timeSteps_
Size	timeStepsPerYear_
Size	requiredSamples_
Size	maxSamples_
Real	requiredTolerance_
bool	brownianBridge_
BigNatural	seed_
Protected Attributes inherited from GenericEngine< VarianceSwap::arguments, VarianceSwap::results >
VarianceSwap::arguments	arguments_
VarianceSwap::results	results_
Protected Attributes inherited from McSimulation< MC, RNG, S >
ext::shared_ptr< MonteCarloModel< MC, RNG, S > >	mcModel_
bool	antitheticVariate_
bool	controlVariate_

Additional Inherited Members
Static Protected Member Functions inherited from McSimulation< MC, RNG, S >
template<class Sequence >
static Real	maxError (const Sequence &sequence)
static Real	maxError (Real error)

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCVarianceSwapEngine< RNG, S >

Variance-swap pricing engine using Monte Carlo simulation,.

as described in Demeterfi, Derman, Kamal & Zou, "A Guide to Volatility and Variance Swaps", 1999

Tests:

returned fair variances checked for consistency with implied volatility curve.

Definition at line 48 of file mcvarianceswapengine.hpp.

Member Typedef Documentation

path_generator_type

typedef McSimulation<SingleVariate,RNG,S>::path_generator_type path_generator_type

Definition at line 53 of file mcvarianceswapengine.hpp.

path_pricer_type

typedef McSimulation<SingleVariate,RNG,S>::path_pricer_type path_pricer_type

Definition at line 56 of file mcvarianceswapengine.hpp.

stats_type

typedef McSimulation<SingleVariate,RNG,S>::stats_type stats_type

Definition at line 58 of file mcvarianceswapengine.hpp.

Constructor & Destructor Documentation

MCVarianceSwapEngine()

MCVarianceSwapEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		Size	timeSteps,
		Size	timeStepsPerYear,
		bool	brownianBridge,
		bool	antitheticVariate,
		Size	requiredSamples,
		Real	requiredTolerance,
		Size	maxSamples,
		BigNatural	seed
	)

Definition at line 167 of file mcvarianceswapengine.hpp.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 70 of file mcvarianceswapengine.hpp.

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pathPricer()

ext::shared_ptr< typename MCVarianceSwapEngine< RNG, S >::path_pricer_type > pathPricer

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 216 of file mcvarianceswapengine.hpp.

timeGrid()

TimeGrid timeGrid

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 197 of file mcvarianceswapengine.hpp.

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pathGenerator()

ext::shared_ptr< path_generator_type > pathGenerator ( ) const

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 107 of file mcvarianceswapengine.hpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

protected

Definition at line 120 of file mcvarianceswapengine.hpp.

timeSteps_

Size timeSteps_

protected

Definition at line 121 of file mcvarianceswapengine.hpp.

timeStepsPerYear_

Size timeStepsPerYear_

protected

Definition at line 121 of file mcvarianceswapengine.hpp.

requiredSamples_

Size requiredSamples_

protected

Definition at line 122 of file mcvarianceswapengine.hpp.

maxSamples_

Size maxSamples_

protected

Definition at line 122 of file mcvarianceswapengine.hpp.

requiredTolerance_

Real requiredTolerance_

protected

Definition at line 123 of file mcvarianceswapengine.hpp.

brownianBridge_

bool brownianBridge_

protected

Definition at line 124 of file mcvarianceswapengine.hpp.

seed_

BigNatural seed_

protected

Definition at line 125 of file mcvarianceswapengine.hpp.