Examples of EquityVarianceSwapStaticReplication

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

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    //    PDEUtilityTools.printSurface("local vo2l", lv2.getSurface(), 0.01, 2.0, spot * 0.3, spot * 3.0);

    System.out.println("lv: " + lvs.getVolatility(2.0, 1.7 * spot));
    System.out.println("lv2: " + lv2.getVolatility(2.0, 1.7 * spot));

    EquityVarianceSwapStaticReplication vsPricer = new EquityVarianceSwapStaticReplication();
    double[] res = vsPricer.expectedVariance(spot, discountCurve, AffineDividends.noDividends(), t, ivs);
    System.out.println(Math.sqrt(res[0] / t));

    double sum1 = 0.0;
    double sum2 = 0.0;
    for (int i = 0; i < 3; i++) {
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