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

[Ioannis R. <qua...@de...>]

There is one in C++.

On 25/09/2020 10:15, Amine Ifri wrote:
> 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... <mailto: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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