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CFA Level 3 | Derivatives: Valuing a Variance Swap
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CORRECTION:
1) At 4:35 the amount 2272.73 should be variance notional and not vega notional
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CFA Level 3
Topic: Derivatives and Currency Management
Reading: Swaps, Forwards, and Futures Strategies
Traders use variance swaps to take directional bets on realized vs implied volatility.
If the realized variance is greater than the variance strike, the payoff at expiration to the long swap position is positive (i.e. swap seller pays swap buyer).
If the realized variance is less than the variance strike, the payoff at expiration to the short swap position is positive (i.e. swap buyer pays swap seller).
In this video, I will be covering the valuation of a variance swap and the calculation of the settlement amount at expiration for a long variance swap position.
1) At 4:35 the amount 2272.73 should be variance notional and not vega notional
======================
CFA Level 3
Topic: Derivatives and Currency Management
Reading: Swaps, Forwards, and Futures Strategies
Traders use variance swaps to take directional bets on realized vs implied volatility.
If the realized variance is greater than the variance strike, the payoff at expiration to the long swap position is positive (i.e. swap seller pays swap buyer).
If the realized variance is less than the variance strike, the payoff at expiration to the short swap position is positive (i.e. swap buyer pays swap seller).
In this video, I will be covering the valuation of a variance swap and the calculation of the settlement amount at expiration for a long variance swap position.
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