• VarianceSwap - This is a derived Instrument class and I believe is the first thing that must be setup
• MCVarianceSwapEngine and ReplicatingVarianceSwapEngine one or the other of these two pricing engine classes are use in the constructor for the above Instrument object to set the pricing engine.

• For position, I would assume this is something like "long" or "short", but I could not find this type defined in the documentation.
• If I were to value this using ReplicatingVarianceSwapEngine which values the swap based on a portfolio of strike weighted listed options. Where do you enter the mkt data i.e. the portfolio of listed options.
• What process is appropriate for the StochasticProcess passed into the constructor of the Instrument object? My guess is that for equity variance swaps such as the S&P 500 index futures either a GeneralizedBlackScholesProcess or BlackScholesProcess process would work best.

Scott L. Robik 
ICAP North America
Harborside Financial Center, 1100 Plaza 5
Jersey City, NJ 07311-4996

Main: (212) 815-7412    Fax: (212) 815-7997
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