I want to calculate the NPV
of a Variance Swap wherein the cash flow happens every months based on the standard Variance formula of the close prices of S&P500 for prior 30 business days. We may assume the strike as K
.
Is there any standard formula for pricing this? As far as I know, the standard formula for Variance swaps assume continuous price during the life time of Swap.
I prefer to use QuantLib Python
library for such valuation.
Any pointer will be highly appreciated.