Model[Variance Swap]


"Model[Variance Swap]" is a special type of Model
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with functions Model[Variance Swap] Functions, keys Model[Variance Swap] keys and example object VarSwapMdl

TYPE INCLUSION RELATIONSHIPS

Model Swap

Model Variance Swap

</defs>

AVAILABLE FUNCTIONS

Create

</defs>

AVAILABLE CREATE FUNCTION KEYS

Antithetic Variate

Brownian Bridge

Number Of Samples

Pricing Method

Random Generator

Required Tolerance

Seed

Strike Set

Strike Step

Time Steps

Time Steps Per Year

</defs>

TYPICAL OBJECTS OF TYPE Model[Variance Swap]

VarSwapMdl

</defs>

This type represents modelling assumptions relating to the type Variance Swap that may be needed during some valuation algorithm.
The pricing succeeds by any of 2 different methods listed in Pricing Method

The volatility input, apart from flat, may also be Maturity or Maturity-Strike

The following labels may be assigned to the key Output of the Price function in order for the latter to return the respective quantities.
List of valid values:
Price

The output is a number that represents the price - also known as NPV (Net Present Value) - of the referenced tradable as of the trade date
Note the applicable trade date equals the global trade date, except if overridden by the optional entry As Of
The cash flows occurring on the trade date are included only if Trade Date CFs is set to TRUE


Variance
Refers to the output of QuantLib's variance function.


optionWeights
Additional data returned by QuantLib.



The quantities listed in McSimulation Extra Data are reportable when Monte Carlo Simulation is used.