All,
I'm interested in
using QuantLib for pricing variance swaps. I've setup a simple project following
a similar pattern to the packaged examples. Checking the class reference in the
documentation, I see three classes that are applicable...
- VarianceSwap -
This is a derived Instrument class and I believe is the first thing that must
be setup
- MCVarianceSwapEngine and ReplicatingVarianceSwapEngine one or the
other of these two pricing engine classes are use in the constructor for the
above Instrument object to set the pricing engine.
The deal specific
are straight forward i.e. strike, notional, maturity, but some of the other
parameters are not so clear...
- For position, I
would assume this is something like "long" or "short", but I could not find
this type defined in the documentation.
- If I were to
value this using ReplicatingVarianceSwapEngine which values the swap based on
a portfolio of strike weighted listed options. Where do you enter the mkt data
i.e. the portfolio of listed options.
- What process is
appropriate for the StochasticProcess passed into the constructor of
the Instrument object? My guess is that for equity variance swaps such as
the S&P 500 index futures either a GeneralizedBlackScholesProcess or
BlackScholesProcess process would work best.
What does the
waning "This class does not manage seasoned variance swaps" mean? Is
this a short coming in the design of the class and I can address this by
modifying the VarianceSwap class? Is there anything else I'm
missing in order to price a variance swaps using QuantLib?
Scott
L. Robik
ICAP North America
Harborside
Financial Center, 1100 Plaza 5
Jersey City, NJ
07311-4996
Main: (212)
815-7412 Fax: (212)
815-7997
Mobil: (201)
699-2025
Email:
scott.robik <at> us.icap.com
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