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[null,"Valuation of a Variance Swap in the Heston Model"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,"Details",null,null,null,null,"Results - Fair Value"]
[null,null,"value date","2008-01-02",null,null,null,"fair value",-125.95795303559518,1]
[null,null,"effective date","2007-11-01",null,null,null,"sensitivity to realized variance",-64.28920977946233,2]
[null,null,"expiry date","2008-02-01",null,null,null,"sensitivity to implied variance",-35.35906537870427,3]
[null,null,"notional amount",100,null,null,null,"theta",7.777544917131221,4]
[null,null,null,null,null,null,null,"rho of rate",0.1053489297150715,5]
[null,null,"accrual method",4,null,null,null,"sensitivity to initial volatility",-1354.382637512175,6]
[null,null,"realized variance",0.04,null,null,null,"sensitivity to long-term volatility",-65.97797539959554,7]
[null,null,"variance strike",0.04,null,null,null,"sensitivity to speed of mean reversion",-122.34553050830976,8]
[null,null,"position",1,null,null,null,"combined variance",0.04012640254217714,9]
[null,null,null,null,null,null,null,"combined variance as volatility",0.2003157570990788,10]
[null,null,"interpolation method",1,null,null,null,"number of market days passed",40,11]
[null,null,null,null,null,null,null,"number of market days remaining",22,12]
[]
[null,"Parameters for Heston Model",null,null,null,null,"Results - Fair Variance"]
[null,null,"initial volatility",0.2,null,null,null,"fair variance",0.040356225346135574,1]
[null,null,"long-term volatility",0.22,null,null,null,"fair variance as volatility",0.2008885893875896,2]
[null,null,"speed of mean reversion",1,null,null,null,"theta",-1.0858562286283418e-05,3]
[null,null,null,null,null,null,null,"sensitivity to initial volatility",0.0038303688827925862,4]
[null,null,null,null,null,null,null,"sensitivity to long-term volatility",0.00018659422892815526,5]
[null,null,null,null,null,null,null,"sensitivity to speed of mean reversion",0.00034600894904307874,6]

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[null,"Curve"]
[]
[]
[null,"Discount Factor Curve"]
[null,"grid date","discount factor"]
[null,"2006-11-14",1]
[null,"2006-11-16",0.9997932287382808]
[null,"2006-11-23",0.9990698659547961]
[null,"2006-12-18",0.996452235110869]
[null,"2007-01-16",0.9933634081447836]
[null,"2007-02-16",0.9900597315045854]
[null,"2007-03-16",0.9868847758699024]
[null,"2007-04-16",0.9834255312737741]
[null,"2007-05-16",0.980048864847684]
[null,"2007-06-16",0.9765646818002819]
[null,"2007-07-16",0.9731977993361232]
[null,"2007-08-16",0.9697237909961253]
[null,"2007-09-16",0.9661793687464925]
[null,"2007-10-16",0.9627616182237627]
[null,"2007-11-16",0.9592426433028531]
[null,"2007-12-16",0.9558687355698166]
[null,"2008-01-16",0.9523948306142458]
[null,"2008-02-16",0.9489335508395093]
[null,"2008-03-16",0.945706968453765]
[null,"2008-04-16",0.9422699943149772]

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[null,"Holidays"]
[]
[]
[null,"Holidays"]
[null,"date"]
[null,"2007-01-01"]
[null,"2007-04-21"]
[null,"2007-05-01"]
[null,"2007-09-07"]
[null,"2007-10-12"]
[null,"2007-11-02"]
[null,"2007-11-15"]
[null,"2007-12-25"]
[null,"2008-01-01"]
[null,"2008-04-21"]
[null,"2008-05-01"]
[null,"2008-09-07"]
[null,"2008-10-12"]
[null,"2008-11-02"]
[null,"2008-11-15"]
[null,"2008-12-25"]
[null,"2009-01-01"]
[null,"2009-04-21"]
[null,"2009-05-01"]
[null,"2009-09-07"]
[null,"2009-10-12"]
[null,"2009-11-02"]
[null,"2009-11-15"]
[null,"2009-12-25"]