Normal brain: there is a variance risk premia to be earned Genius brain: volatility can only go down Galaxy brain: ~*~ volatility might go negative ~*~pic.twitter.com/CaK7MomC9J
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Many opportunities to obfuscate this with a switch statement on a ‘freq’ flag hidden inside a ‘getPeriodsPerYear’ method called by the ‘annualiseVolatility’ method in the implementation of the ‘npv’ method of the ‘VanillaVarianceSwap’ extension of the ‘BaseSwap’ class.
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easy, just change the annualization factor to 1e6. Problem solved
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"ha yeah the frequency variable was labelled i; was it not clear?"
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Auditors to require Haskell as best practices
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