Is there support for caps on variance swaps? Don’t see it as an attribute on the EquityVarianceSwapSecurity - maybe there’s another way to provide it to the model and have the model respect it?
Support for caps on realized variance is on the way. The initial model prices variance by static replication, integrating over the smile. This allows one to price realized variance itself, but won’t extend to non-linear payoffs, or early exercise. We are currently extending our local vol model to equity. When ready, it will likely take the form of a new security.
Great, looking forward to it. Was also curious about support for FX variance swaps - is that supported or on the way?