VarianceSwapSurfaceGroup

class sigtech.framework.instruments.variance_swap.VarianceSwapSurfaceGroup

Baseclasses: VarianceSwapGroupBase

A class implementing a variance swap group based on an option group.

option_group: str

exchange()

Exchange object for this group.

get_option_dependencies(start_date: date, maturity, data_points=None, **kwargs)

Additional Dependencies at the option level - there aren’t any.

get_option_group_dependencies(t: time, tz: tzinfo, valuation_currency: str, start_dt: datetime, end_dt: datetime, greek_calculation_dependencies: bool = False)

Dependencies on the option group level.