Login  Register

Re: Variance Swap Implementation

Posted by Luigi Ballabio on Oct 26, 2010; 2:48pm
URL: http://quantlib.414.s1.nabble.com/Variance-Swap-Implementation-tp13389p13390.html

On Mon, 2010-08-30 at 15:11 +0530, animesh saxena wrote:
> I have been trying to price Variance Swap using Monte carlo
> simulation. After trying various codes including the one in test-suite
> I wasn't able to get the correct price. There is a huge different in
> fair price. For example fair strike of variance swap for 20%
> volatility generally is implied vol of 90 Strike put. Roughly this is
> around 30% - 33%.
> Quantlib gives out 20%.

Animesh,
        sorry I haven't had a chance to come back on this.  Did you make any
progress (or any patch) in the meantime?

Thanks,
        Luigi



--

I hate quotations.
-- Ralph Waldo Emerson



------------------------------------------------------------------------------
Nokia and AT&T present the 2010 Calling All Innovators-North America contest
Create new apps & games for the Nokia N8 for consumers in  U.S. and Canada
$10 million total in prizes - $4M cash, 500 devices, nearly $6M in marketing
Develop with Nokia Qt SDK, Web Runtime, or Java and Publish to Ovi Store
http://p.sf.net/sfu/nokia-dev2dev
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev