Smile.Dynamics.IVolatilityDynamicsModel

Classes

IVolatilityDynamicsModel	General interface to describe how implied volatility evolves according to market evolution.
Market(ref_date: datetime.date, ...)	Container class to encapsulate dated market data.
MoneynessSmileRepresentation(atm_vol: float, ...)	” Container Class that describes a smile as a vector of deltas for moneyness, the atm volatility, and the shifts in

class Smile.Dynamics.IVolatilityDynamicsModel.IVolatilityDynamicsModel

General interface to describe how implied volatility evolves according to market evolution.

See also

LogLinearVolatilityDynamicsModel

LogLinearVolatilityDynamicsModel

Methods

smile(...)

Describe the moneyness smile representation for a given market state.

smile(market: MarketQuotations.Market.Market) → Smile.Representations.MoneynessSmileRepresentation.MoneynessSmileRepresentation

Describe the moneyness smile representation for a given market state.

Parameters:

market : date

Maturity of the linear rate.

Returns:

moneyness_smile : MoneynessSmileRepresentation

A representation of the smile parametrized by deltas