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Just a question here. I am aware that variance swaps for equity products are quite common in the market. However, will anyone be familiar with variance swaps on swap rates in the market? Are they traded much and is it liquid?

Thank you!

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In this month's Risk magazine, there was a research paper stating precisely

There is no liquidity in the variance swaps of interest rates.

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  • $\begingroup$ Thanks siou! Will take a look $\endgroup$ – Benedict Dec 18 '19 at 1:32

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