I am constructing a hedging experiment within a simulation that generates evolutions of forward rates as well as the caplet and swaption implied volatility surfaces under the physical measure.I am currently looking for interesting derivatives that I can analyze in this synthetic world. In particular, I would like to find an option that I can price within my framework knowing only the prices of caplets, swaptions and forward rates (e.g. by static replication). If this is not exactly possible, I would also use an approach that requires moderate assumptions (or approximations).I am thinking of something like the static replication of a variance swap on a stock, only that the pricing of a variance swap on a swap rate is a bit more difficult because the swap rate is not traded directly.If I do not find something interesting for this purpose, I could also invent my own derivative, of course.But I would be grateful if someone could pitch me an idea. Thank you very much in advance