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Model[Variance_Swap]"Model[Variance Swap]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Variance Swap.
The pricing succeeds by any of 2 different methods listed in Model[Variance Swap]::Pricing Method
The volatility input, apart from flat, may also be Vol Curve::Vol Input::Maturity or Vol Curve::Vol Input::Maturity-Strike
The following quantities may be also calculated and reported along the price.
The output refers to the price of the referenced tradable contract.
Refers to the output of QuantLib's variance function.
Additional data returned by QuantLib.
The quantities listed in McSimulation Extra Data are reportable when Monte Carlo Simulation is used.