NO.PZ2018113001000053
问题如下：
Olivia, a fund manager, sells $50,000 vega notional of a one-year variance swap on the S&P 500 at a strike of 20% (quoted as annual volatility).
If the one-year realized volatility is 18%, the settlement amount at expiration of the swap for Olivia is:
选项：
A.pay $95,000 to the swap buyer.
B.receive $95,000 from the swap buyer.
C.receive $125,000 from the swap buyer.
解释：
B is correct.
Variance notional = Vega notional/(2*Strike)=50000/(2*20)=1250.
SettlementT = Variance notional × (Realized variance – Variance strike) = 1,250 × (18^2 – 20^2)
= –$95,000
If the payment amount is positive (negative), the swap seller (buyer) pays the swap buyer (seller). So, in this case, Olivia would receive $95,000 from the swap buyer.
中文解析：
本题考察的是variance swap的结算。
公式为：SettlementT = Variance notional × (Realized variance – Variance strike)
其中Variance notional = Vega notional/(2*Strike)
代入数字计算即可。
其中realized variance即σ2 ,variance strike 即X2
注意代入数字时，只取百分号前面的数字。
注意上述公式是站在long position的角度，如果结果为负数，说明是swap的买方要付给swap的卖方，本题问的是swap的卖方，因此seller是收到95,000
如题
