Posted by
Luigi Ballabio on
Apr 19, 2011; 10:00am
URL: http://quantlib.414.s1.nabble.com/Model-calibration-tp8894p8896.html
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
>
>
>
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