quantlib.pricingengines.forward.replicating_variance_swap_engine.
ReplicatingVarianceSwapEngine¶
- class ReplicatingVarianceSwapEngine(GeneralizedBlackScholesProcess process, vector[Real] call_strikes, vector[Real] put_strikes, Real dk=5.0)¶
Bases:
PricingEngineVariance-swap pricing engine using replicating cost
as described in [1].
- Parameters:
- process
GeneralizedBlackScholesProcess - call_strikeslist of
Real - put_strikeslist of
Real - dkReal, default 5.0
- process
References
[1]Demeterfi, Derman, Kamal & Zou, “A Guide to Volatility and Variance Swaps”, 1999