Smile.Dynamics.LogLinearVolatilityDynamicsModel

Classes

IVolatilityDynamicsModel	General interface to describe how implied volatility evolves according to market evolution.
LogLinearVolatilityDynamicsModel(...)	Class to describe the following relationship between the implied volatility dynamics.
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.LogLinearVolatilityDynamicsModel.LogLinearVolatilityDynamicsModel(ref_underlying_level: float, steepness: float)

Class to describe the following relationship between the implied volatility dynamics. \(d\sigma = \kappa d\ln(F)\) where

• \(\sigma\): the At-The-Money volatility
• \(\kappa\) : the steepness parameter
• \(F\) : the underlying level

Parameters:

ref_underlying_level : float

The reference underlying level for which the volatility smile is observed.

steepness : float

The parameter that links the underlying level dynamics to the volatility smile dynamics

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