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

[Amine I. <ami...@gm...>]

Hi,

Haven’t seen VarSwap instrument interface so I am not sure they are currently handled by the library. I use an old version of the lib though...

Thanks.

Amine Ifri

> On 25 Sep 2020, at 04:23, Pierre Dugland <mer...@gm...> wrote:
> 
> 
> 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
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