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Currency Advanced
Currency Variance Swap Payout Calculator
Calculate the periodic payout of a currency variance swap by comparing realized variance to the strike variance over a given tenor. Used by options traders and risk managers settling volatility positions.
Fill in the required fields to see your result.
Currency Advanced
Currency Arbitrage Opportunity Calculator
Quantifies the potential profit from a triangular currency arbitrage across three currency pairs (USD/EUR, EUR/GBP, USD/GBP) by comparing the synthetic cross-rate against the direct rate, net of three transaction-cost legs. Useful for understanding the no-arbitrage condition between currency triangles and as a teaching tool — in practice, machine-driven liquidity providers close these arbitrages in milliseconds.
Fill in the required fields to see your result.
Key differences
| Currency Variance Swap Payout Calculator | Currency Arbitrage Opportunity Calculator | |
|---|---|---|
| Category | Currency Advanced | Currency Advanced |
| Inputs required | 5 | 5 |
| Result | Variance Swap Payout ($) | Arbitrage Profit ($) |
| What it does | Calculate the periodic payout of a currency variance swap by comparing realized variance to the strike variance over a given tenor. Used by options traders and risk managers settling volatility positions. | Quantifies the potential profit from a triangular currency arbitrage across three currency pairs (USD/EUR, EUR/GBP, USD/GBP) by comparing the synthetic cross-rate against the direct rate, net of three transaction-cost legs. Useful for understanding the no-arbitrage condition between currency triangles and as a teaching tool — in practice, machine-driven liquidity providers close these arbitrages in milliseconds. |