Qu'est-ce que « Variance swap » ?

A variance swap is a forward contract on realised variance. At expiry $T$ the long side receives $N_{\mathrm{var}}\bigl(\sigma_R^2-K^2\bigr)$, where $\sigma_R^2=\frac{252}{n}\sum_{i=1}^n\ln^2(S_{t_i}/S_{t_{i-1}})$ is the annualised realised variance of daily closes, with no mean subtracted, and $K$ is the strike, quoted as a volatility.