Smile.Interpolation.IImpliedVolatilityInterpolator¶

Classes

IImpliedVolatilityInterpolator General interface to interpolate the implied volatility smile in strike.

class Smile.Interpolation.IImpliedVolatilityInterpolator.IImpliedVolatilityInterpolator[source]¶

General interface to interpolate the implied volatility smile in strike.

See also

CubicSplineImpliedVolatilityInterpolator: CubicSplineImpliedVolatilityInterpolator
TensionSplineImpliedVolatilityInterpolator: TensionSplineImpliedVolatilityInterpolator

Methods

`slope_at_strike`((strike: float) -> float)	Compute the implied volatility slope or skew for a given strike.
`vol_at_strike`((strike: float) -> float)	Compute the implied volatility for a given strike.

slope_at_strike(strike: float) → float[source]¶

Compute the implied volatility slope or skew for a given strike.

Parameters:

strike : float

The strike for which the implied volatility slope will be calculated.

Returns:

implied_volatility_slope : float

The implied volatility slope for the provided strike.

vol_at_strike(strike: float) → float[source]¶

Compute the implied volatility for a given strike.

Parameters:

strike : float

The strike for which the implied volatility will be calculated.

Returns:

implied_volatility : float

The implied volatility for the provided strike.