VARIANCE SWAP VALUATION PROCEDURE



Financial solutions home page

  1. Log into your account or if you are a new user, register your account and enable two factor authentication.
  2. Click on the [Variance swap] button, this will take you to the Dynamic-text-blocks parameters page.

Dynamic text-blocks parameters page

  1. Enter the number of strike prices used in floating variance rate evaluation.
  2. Click the submit button, and this will take you to the array populating page.

Array populating page

  1. Enter the strike prices in ascending order and the implied volatilities corresponding to the strike prices.
  2. Click the submit button, and this will take you to the Variance swap valuation parameters page.

Variance swap valuation parameters page

  1. Enter the underlying name.
  2. Select the name of currency of valuation from the drop-down list.
  3. Enter the current underlying stock/index value.
  4. Enter the swap contract maturity period in years.
  5. Enter the pre-specified fixed variance rate.
  6. Enter the stock/index dividend yield.
  7. Enter the continuously compounded zero rate for swap maturity period.
  8. Enter the swap notional principal
  9. Click the submit button and this will take you to the output display page.

Output display page

  1. You can view pricing model output together with input parameters you entered.
  2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
  3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
  4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.