Smile.Implicitation.IMoneynessSmileRepresentationBuilder¶

Classes

`Contract`(index_name: str, ...)	Container class representing the notion of a futures contract.
`Dict`(...[, two])	Methods
`IMoneynessSmileRepresentationBuilder`	General interface to build the volatility surface associated to american options of a given contract.
`MoneynessSmileRepresentation`(atm_vol: float, ...)	” Container Class that describes a smile as a vector of deltas for moneyness, the atm volatility, and the shifts in
`date`	date(year, month, day) –> date object

class Smile.Implicitation.IMoneynessSmileRepresentationBuilder.IMoneynessSmileRepresentationBuilder[source]¶

General interface to build the volatility surface associated to american options of a given contract.

See also

MoneynessSmileRepresentationBuilder: MoneynessSmileRepresentationBuilder

Methods

`build_for_date`((value_date: datetime.date, ...)	Build the volatility surface at a given date, for a given contract.
`build_for_dates`(...)	Build the volatility surface for a range of dates, for a given contract.

build_for_date(value_date: datetime.date, contract: Backends.Contract.Contract) → Smile.Representations.MoneynessSmileRepresentation.MoneynessSmileRepresentation[source]¶

Build the volatility surface at a given date, for a given contract.

Parameters:

value_date : date

The quotation date of the options.

contract : Contract

The contract for which the volatility will be built.

Returns:

moneyness_smile_representation : MoneynessSmileRepresentation

The implied volatility smile represented as a function of the deltas.

build_for_dates(start_value_date: datetime.date, end_value_date: datetime.date, contract: Backends.Contract.Contract) → typing.Dict[datetime.date, Smile.Representations.MoneynessSmileRepresentation.MoneynessSmileRepresentation][source]¶

Build the volatility surface for a range of dates, for a given contract.

Parameters:

start_value_date : date

The first quotation date of the options (included).

end_value_date : date

The last quotation date of the options (included).

contract : Contract

The contract for which the volatility will be built.

Returns:

moneyness_smile_representation : Dict[date,:class:~Smile.Representations.MoneynessSmileRepresentation]

Dictionary mapping each value date to the implied volatility smile represented as a function of the deltas.