Re: [Quantlib-dev] Variance Swap Implementation

[Luigi B. <lui...@gm...>]

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