ReplicatingVarianceSwapEngine Class Reference

Variance-swap pricing engine using replicating cost,. More...

#include <replicatingvarianceswapengine.hpp>

Inheritance diagram for ReplicatingVarianceSwapEngine:

Collaboration diagram for ReplicatingVarianceSwapEngine:

Public Types
typedef std::vector< std::pair< ext::shared_ptr< StrikedTypePayoff >, Real > >	weights_type
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	ReplicatingVarianceSwapEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Real dk=5.0, const std::vector< Real > &callStrikes=std::vector< Real >(), const std::vector< Real > &putStrikes=std::vector< Real >())
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 ()

Protected Member Functions
void	computeOptionWeights (const std::vector< Real > &, Option::Type, weights_type &optionWeights) const
Real	computeLogPayoff (Real, Real) const
Real	computeReplicatingPortfolio (const weights_type &optionWeights) const
Rate	riskFreeRate () const
DiscountFactor	riskFreeDiscount () const
Real	underlying () const
Time	residualTime () const

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Real	dk_
std::vector< Real >	callStrikes_
std::vector< Real >	putStrikes_

Additional Inherited Members
Protected Attributes inherited from GenericEngine< VarianceSwap::arguments, VarianceSwap::results >
VarianceSwap::arguments	arguments_
VarianceSwap::results	results_

Detailed Description

Variance-swap pricing engine using replicating cost,.

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

Tests:

returned variances verified against results from literature

Definition at line 44 of file replicatingvarianceswapengine.hpp.

Member Typedef Documentation

weights_type

typedef std::vector<std::pair< ext::shared_ptr<StrikedTypePayoff>, Real> > weights_type

Definition at line 47 of file replicatingvarianceswapengine.hpp.

Constructor & Destructor Documentation

ReplicatingVarianceSwapEngine()

ReplicatingVarianceSwapEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		Real	dk = 5.0,
		const std::vector< Real > &	callStrikes = std::vector<Real>(),
		const std::vector< Real > &	putStrikes = std::vector<Real>()
	)

Definition at line 76 of file replicatingvarianceswapengine.hpp.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 182 of file replicatingvarianceswapengine.hpp.

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computeOptionWeights()

void computeOptionWeights ( const std::vector< Real > &  availStrikes, Option::Type  type, weights_type &  optionWeights  ) const

protected

Definition at line 94 of file replicatingvarianceswapengine.hpp.

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computeLogPayoff()

Real computeLogPayoff ( Real  strike, Real  callPutStrikeBoundary  ) const

protected

Definition at line 146 of file replicatingvarianceswapengine.hpp.

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computeReplicatingPortfolio()

Real computeReplicatingPortfolio ( const weights_type &  optionWeights ) const

protected

Definition at line 155 of file replicatingvarianceswapengine.hpp.

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riskFreeRate()

Rate riskFreeRate ( ) const

protected

Definition at line 219 of file replicatingvarianceswapengine.hpp.

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riskFreeDiscount()

DiscountFactor riskFreeDiscount ( ) const

protected

Definition at line 226 of file replicatingvarianceswapengine.hpp.

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underlying()

Real underlying ( ) const

protected

Definition at line 209 of file replicatingvarianceswapengine.hpp.

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residualTime()

Time residualTime ( ) const

protected

Definition at line 214 of file replicatingvarianceswapengine.hpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 68 of file replicatingvarianceswapengine.hpp.

dk_

Real dk_

private

Definition at line 69 of file replicatingvarianceswapengine.hpp.

callStrikes_

std::vector<Real> callStrikes_

private

Definition at line 70 of file replicatingvarianceswapengine.hpp.

putStrikes_

std::vector<Real> putStrikes_

private

Definition at line 70 of file replicatingvarianceswapengine.hpp.