Re: [Quantlib-users] Var/Vol swaps pricing using Python bindings

[Pierre D. <mer...@gm...>]

Hello All,

Re-upping as I didn't get any replies the first time :)
Still looking for a way to price variance swaps using Python Quantlib. Is
it possible and if it is, where could I find an example ?

Thank you for your help.

Best,

Pierre



On Mon, Aug 3, 2020 at 9:32 AM Pierre Dugland <mer...@gm...>
wrote:

> Hello All,
>
> I could not find an example to price volatility and variance swaps. Is it
> at all possible using the Python bindings ?
> Ideally I am also looking for the capped versions of both those products.
>
> Thank you for your help.
>
> Best,
>
> Pierre
>