MCVarianceSwapEngine (3) - Linux Manuals

MCVarianceSwapEngine: Variance-swap pricing engine using Monte Carlo simulation,.

NAME

QuantLib::MCVarianceSwapEngine - Variance-swap pricing engine using Monte Carlo simulation,.

SYNOPSIS

#include <ql/pricingengines/forward/mcvarianceswapengine.hpp>

Inherits QuantLib::VarianceSwap::engine, and McSimulation< SingleVariate, 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 Member Functions

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

void calculate () const

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const

TimeGrid timeGrid () const

boost::shared_ptr< path_generator_type > pathGenerator () const

Protected Attributes

boost::shared_ptr< GeneralizedBlackScholesProcess > process_

Size timeSteps_

Size timeStepsPerYear_

Size requiredSamples_

Size maxSamples_

Real requiredTolerance_

bool brownianBridge_

BigNatural seed_

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

Possible enhancements

define tolerance of numerical integral and incorporate it in errorEstimate

Tests

returned fair variances checked for consistency with implied volatility curve.

Author

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