Vol Derivatives

• Fast pricing of variance and volatility swaps (capped or uncapped), options on var and vol, and corridor and conditional variance.
• Consistently price and hedge variance and volatility derivatives and vanilla options under the same spot-vol dynamics assumption (or, alternatively, greeks can be calculated under “sticky-strike” assumptions).
• Either use the default calibration of a simple log-normal model from the vol surface of the underlier, or use your own vol surface for the future variance to price and risk-manage all vol contracts together.
• Pricing of aged vol derivatives — combining historical realized vol and future implied vol into a current market-to-market value.