Re: [Quantlib-dev] MCVarianceSwap

[Luigi B. <lui...@gm...>]

Patrick,
	sorry I didn't manage to get back on this.  May you file it as a bug on
<https://sourceforge.net/tracker/?group_id=12740&atid=112740> so we
don't lose track of it?

Thanks,
	Luigi


On Thu, 2011-02-03 at 16:27 +0100, P. Henaff wrote:
> I'm finding an odd behavior in MCVarianceSwapEngine: the realized
> variance along each path is computed from the process diffusion method,
> and not from the observed variance itself. So, for example, specifying a
> BlackScholes process in the MC engine (as in the test suite) yields - by
> construction - the same realized variance (\sigma^2 (T-t)) for all
> paths. 
> 
> It seems to me that the Integrand definition in MCVarianceSwapEngine
> (lines 317-335) should compute (dS[t]/S[t])^2 along the path, rather
> than simply return the diffusion.
> 
> Can anyone comment on this? Is this intentional?
> 
> Thanks in advance.
> 
> Patrick Hénaff
> 
> 
> 
> ------------------------------------------------------------------------------
> Special Offer-- Download ArcSight Logger for FREE (a $49 USD value)!
> Finally, a world-class log management solution at an even better price-free!
> Download using promo code Free_Logger_4_Dev2Dev. Offer expires 
> February 28th, so secure your free ArcSight Logger TODAY! 
> http://p.sf.net/sfu/arcsight-sfd2d
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

-- 

It is always the best policy to tell the truth, unless, of course, 
you are an exceptionally good liar. 
-- Jerome K. Jerome