Patches item #1510294, was opened at 2006-06-21 17:41
Message generated for change (Settings changed) made by warrenchou
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Warren Chou (warrenchou)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Variance swap
Initial Comment:
Base and vanilla variance swap classes
Monte Carlo and replicating-cost variance swap engine
classes
Monte Carlo engines checked for consistency with
implied vol curve; replicating-cost engine checked
against Derman, et al
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