netrium-0.6.0: examples/VarianceSwap.contract

import Calendar
import Swaps

-- Variance swap
contract = varianceSwap strikePrice vegaAmount varianceAmount
                        [date 2011 01 01, date 2011 01 06]
                        (primVar "SPX Index") [10,11,10.5,13,15]
                        (Currency "USD") (CashFlowType "cash")
                        (daysLater 3) calendar
  where
    strikePrice     = 16
    vegaAmount      = 100000
    varianceAmount  = vegaAmount / (strikePrice * 2)
    calendar = getBusinessDayCalendar "EEX Power"