Smile.Implicitation.BlackScholesMoneynessToStrikeSolver¶
Classes
BlackScholesMoneynessToStrikeSolver(...) |
Class to compute the strike associated to a given moneyness in a Black-Scholes model. |
IMoneynessToStrikeSolver |
General interface to compute the strike associated to a given moneyness. |
SmileRepresentationConverter |
Class that permits to convert a smile representation from Strike-> Vol(Strike) to Moneyness -> Vol(Moneyness) |
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class
Smile.Implicitation.BlackScholesMoneynessToStrikeSolver.BlackScholesMoneynessToStrikeSolver(vol_interpolation_in_strike: True, underlying_level: float, duration: float)[source]¶ Class to compute the strike associated to a given moneyness in a Black-Scholes model.
Parameters: vol_interpolation_in_strike : callable(float)
An interpolation in strike of the volatility smile
underlying_level : float
The market value of the option underlying.
duration : float
The duration of the american option.
Methods
solve((moneyness: float) -> float)Solve for the strike associated to a given moneyness.