Smile.Implicitation.IMoneynessToStrikeSolver¶

Classes

IMoneynessToStrikeSolver General interface to compute the strike associated to a given moneyness.

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

General interface to compute the strike associated to a given moneyness.

See also

BlackScholesMoneynessToStrikeSolver: BlackScholesMoneynessToStrikeSolver

Methods

solve((moneyness: float) -> float) Solve for the strike associated to a given moneyness.

solve(moneyness: float) → float[source]¶

Solve for the strike associated to a given moneyness.

Parameters:

moneyness : float

The delta representation of the option’s strike.

Returns:

strike : float

The absolute strike equivalent to the inputted moneyness