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 [1].

Parameters:
processGeneralizedBlackScholesProcess
call_strikeslist of Real
put_strikeslist of Real
dkReal, default 5.0

References

[1]

Demeterfi, Derman, Kamal & Zou, “A Guide to Volatility and Variance Swaps”, 1999