VarianceSwap.cpp

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#include "./VarianceSwap.h"

VarianceSwap::VarianceSwap(OptionStrategy* options, Real maturity, Real forwardprice)
        :       _options(options),
                _maturity(maturity),
                _forward(forwardprice)
{
}

VarianceSwap::~VarianceSwap(void)
{
}

Real VarianceSwap::getPrice() {
        Real result=0;
        //Create vectors to store indexes of options to use
        valarray<Integer> putsToUse;
        valarray<Integer> callsToUse;
        putsToUse.resize(_options->returnNbOptions());
        callsToUse.resize(_options->returnNbOptions());
        for (Natural i=0;i<putsToUse.size();i++) {
                putsToUse[i]=-1;
                callsToUse[i]=-1;
        }

        Integer countCalls=0;
        Integer countPuts=0;
        BlackScholes* bs;
        BlackScholes* bs2;
        Real Strike1;
        Real Strike2;

        //Search _options for options to use
        for (Integer i=0;i<(Integer)_options->returnNbOptions();i++) {
                bs=_options->returnOption(i);
                if (bs->isCall() && (bs->getStrike()>=_forward)) {
                        callsToUse[countCalls]=i;
                        countCalls++;
                }
                if (!(bs->isCall()) && (bs->getStrike()<=_forward)) {
                        putsToUse[countPuts]=i;
                        countPuts++;
                }
        }

        //Compute the formula
        for (Integer i=0;i<countPuts-1;i++) {
                bs2=_options->returnOption(putsToUse[i+1]);
                bs=_options->returnOption(putsToUse[i]);
                Strike1=bs->getStrike();
                Strike2=bs2->getStrike();
                result+=(Strike2-Strike1)*1/(Strike1*Strike1)*bs->getPrice();
        }
        if (countCalls>0 && countPuts>0) {
                bs=_options->returnOption(putsToUse[countPuts-1]);
                bs2=_options->returnOption(callsToUse[0]);
                Strike1=bs->getStrike();
                Strike2=bs2->getStrike();
                result+=(Strike2-Strike1)*1/(Strike1*Strike1)*bs->getPrice();
        }
        for (Integer i=0;i<countCalls-1;i++) {
                bs2=_options->returnOption(callsToUse[i+1]);
                bs=_options->returnOption(callsToUse[i]);
                Strike1=bs->getStrike();
                Strike2=bs2->getStrike();
                result+=(Strike2-Strike1)*1/(Strike1*Strike1)*bs->getPrice();
        }

        return 2./_maturity*result;
}

Real VarianceSwap::getRho(Real shiftCurve) {
        double result=getPrice();
        _options->changeRate(shiftCurve);
        result=getPrice()-result;
        return result;
}

Real VarianceSwap::getVega(Real shiftVol) {
        double result=getPrice();
        _options->changeVol(shiftVol);
        result=getPrice()-result;
        return result;
}

Real VarianceSwap::getTheta(Real shiftMat) {
        double result=getPrice();
        _options->changeMaturity(shiftMat);
        result=getPrice()-result;
        return result;
}

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