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

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

Ioannis is right, there is a variance swap in C++ but it's not exported to
Python.  Also, no cap/floor and no swaption.

Please open an issue on GitHub if you're interested in any of the above.

Luigi


On Fri, Sep 25, 2020 at 12:25 PM Ioannis Rigopoulos <qua...@de...>
wrote:

> 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...>
> <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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