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Class ReplicatingVarianceSwapEngine

Variance-swap pricing engine using replicating cost

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

test returned variances verified against results from literature

Hierarchy

  • engine
    • ReplicatingVarianceSwapEngine

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

_arguments

_arguments: Arguments

Private _callStrikes

_callStrikes: Real[]

Private _dk

_dk: Real

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _process

_process: GeneralizedBlackScholesProcess

Private _putStrikes

_putStrikes: Real[]

_results

_results: Results

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

calculate

  • calculate(): void

Protected computeLogPayoff

  • computeLogPayoff(strike: Real, callPutStrikeBoundary: Real): Real

  • Parameters

    • strike: Real
    • callPutStrikeBoundary: Real

    Returns Real

Protected computeOptionWeights

  • Parameters

    Returns void

Protected computeReplicatingPortfolio

  • Parameters

    Returns Real

getArguments

getResults

  • getResults(): Results

reset

  • reset(): void

Protected residualTime

  • residualTime(): Time

  • Returns Time

Protected riskFreeDiscount

  • Returns DiscountFactor

Protected riskFreeRate

  • riskFreeRate(): Rate

  • Returns Rate

Protected underlying

  • underlying(): Real

  • Returns Real

update

  • update(): void