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: PricingEngine

Variance-swap pricing engine using replicating cost, as described in Demeterfi, Derman, Kamal & Zou, “A Guide to Volatility and Variance Swaps”, 1999

process

Type:

GeneralizedBlackScholesProcess

call_strikes

Type:

list of Real

put_strikes

Type:

list of Real

dk

5.0

Type:

Real

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)