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[null,"Valuation of a Variance Swap using a Portfolio of European Options"]
[]
[]
[]
[]
[]
[]
[]
[null,"Details - Fair Variance",null,null,null,null,null,"Results - Fair Variance"]
[null,null,"underlying price",100,null,null,null,null,"fair variance",0.04598700291218751,1]
[null,null,"expiry date","2008-04-02",null,null,null,null,"fair variance as volatility",0.21444580413751982,2]
[null,null,"value date","2008-01-02",null,null,null,null,"delta",-0.0009798293858503159,3]
[null,null,"accrual method",4,null,null,null,null,"gamma",2.0255329296921167e-05,4]
[null,null,null,null,null,null,null,null,"theta",9.21503400068825e-05,5]
[null,null,"type of smile table",1,null,null,null,null,"vega",0.004182676725527995,6]
[null,null,"interpolation method for the smile",3,null,null,null,null,"rho of rate",-0.00023729108531753915,7]
[null,null,"extrapolation method for the smile",1,null,null,null,null,"rho of holding cost",0.00025146929236842595,8]
[null,null,"strikes in portfolio",1,null,null,null,null,"cost of options portfolio (per unit principal)",0.045937835976925946,9]
[null,null,"interpolation method",3]
[]
[null,"Details - Fair Value",null,null,null,null,null,"Results - Fair Value"]
[null,null,"notional amount",100,null,null,null,null,"fair value",-3666.8391463083603,1]
[null,null,"effective date","2007-11-01",null,null,null,null,"sensitivity to realized variance",-37.690250544804634,2]
[null,null,"realized variance",0.04,null,null,null,null,"sensitivity to implied variance",-61.24665713530754,3]
[null,null,"variance strike",0.04,null,null,null,null,"theta",38.51742561765216,4]
[null,null,"position",1,null,null,null,null,"rho of rate",9.061226705724806,5]
[null,null,null,null,null,null,null,null,"combined variance",0.04370623989802084,6]
[null,null,null,null,null,null,null,null,"combined variance as volatility",0.20906037381106166,7]
[null,null,null,null,null,null,null,null,"number of market days passed",40,8]
[null,null,null,null,null,null,null,null,"number of market days remaining",65,9]
[null,"Smile Interpolation Parameters"]
[null,"number of interpolated strikes","minimum strike","maximum strike","smoothing parameter"]
[null,20,50,150,0.001]
[]
[null,"Smile Table",null,null,null,null,null,"Results - Options Portfolio"]
[null,"exercise price","implied volatility",null,null,null,null,"option type\n(1=call, 2=put)","strike price","implied volatility","option value","weight","contribution"]
[null,80,0.25,null,null,null,null,2,80,0.25,0.14488504896421786,12211.033710680347,1769.196217075637]
[null,90,0.22,null,null,null,null,2,90,0.22,0.814868277871194,9632.230891188923,7848.999398360834]
[null,100,0.195,null,null,null,null,2,100,0.195,3.419622251912855,4156.461371606835,14213.527795562959]
[null,110,0.175,null,null,null,null,1,100,0.195,4.482714571800675,3636.414428646618,16301.00794840042]
[null,120,0.165,null,null,null,null,1,110.00000000000001,0.175,0.8450198854456925,6434.764028625066,5437.503562338817]
[null,null,null,null,null,null,null,1,120,0.165,0.06803144774699921,5403.398977401561,367.60105518728324]

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

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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"]