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Feb
15
comment Variance swap replication and variance vega
I guess another way to ask the question is, given a volatility-spot curve, for any spot value S, if I sum the vega or variance vega of each one of the options in the replication portfolio using Black Scholes formula, I don't think I'll get the same value for all S values?
Feb
15
comment Variance swap replication and variance vega
"The variance swap's Vega that is equal to the variance notional refers to the realized variance." I'm not sure I agree. The value of the variance swap at any given time is determined by the sum of variance already realized and variance to be realized. The variance to be realized is "implied" by the current value of the swap.
Jul
12
comment Do Bond Put Dates always fall on Coupon Dates (for non-zero coupon bonds). Calculation rules for Coupon Dates
Thanks. Optionality is not heart of the question though. Anyway, whatever helps people find the question. On another note, you removed "thanks" from my post. Is there a SE policy/guideline somewhere that advises against it? I'm asking because I tend to do that a lot, and I'll cut down on it if it's not a good practice.
Jul
11
comment Do Bond Put Dates always fall on Coupon Dates (for non-zero coupon bonds). Calculation rules for Coupon Dates
@SRKX Why's this question retagged with "options"?