Examples of RealizedVariance

com.opengamma.analytics.financial.equity.variance.pricing.RealizedVariance

Model-independent realized variance result of the swap based upon observations already made.

Notes on market-standard form :

Computed as the average daily variance of log returns, scaled by an annualization factor, an estimate of the number of business days per year

In this calculation, the average is taken over the actual number of observations provided. In variance instruments, the number of actual observations may be less than number expected, due to unforeseen market disruptions. To account for this, the sum is normalized by nObsExpected (>= nObsActual) The realized variance calculated in this class do not perform this normalization. See {@link VarianceSwapStaticReplication#presentValue}for an example of this normalization.

   */
  public void swapObservationsCompleted() {
    final VarianceSwap swapPaysTomorrow = new VarianceSwap(-1., -tPlusOne, tPlusOne, varStrike, varNotional, Currency.EUR, annualization, nObs - 1, 0, obs, obsWeight);


    final double pv = PRICER.presentValue(swapPaysTomorrow, MARKET);
    final double variance = new RealizedVariance().evaluate(swapPaysTomorrow);
    final double pvOfHedge = swapStartsNow.getVarNotional() * (variance - swapStartsNow.getVarStrike()) * MARKET.getDiscountCurve().getDiscountFactor(tPlusOne);
    assertEquals(pvOfHedge, pv, 0.01);
  }

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Examples of RealizedVariance

Examples of com.opengamma.analytics.financial.equity.variance.pricing.RealizedVariance