VarianceCalculator

The concept of variance futures entails converting notional vega into a futures position and traded volatility into a futures price. Our VarianceCalculator will support you with the conversion from volatility to futures and vice versa.

The conversion can take place based on the preliminary parameters or the final conversion parameters. The date indicates the most recent parameter set. If preliminary and final parameters of the same date are available, the complete parameter set is the most recent one and has been used for the end of day conversion of Variance Futures trades and should be used for the calculation of block trade prices. Please note that both fields need to be populated for the calculation.