Posted by
henaffp on
Feb 03, 2011; 3:27pm
URL: http://quantlib.414.s1.nabble.com/Model-calibration-tp8894p8895.html
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
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