Smile.Representations.MoneynessSmileRepresentation¶
Classes
List |
Methods |
MoneynessSmileRepresentation(atm_vol: float, ...) |
” Container Class that describes a smile as a vector of deltas for moneyness, the atm volatility, and the shifts in |
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class
Smile.Representations.MoneynessSmileRepresentation.MoneynessSmileRepresentation(atm_vol: float, moneyness: typing.List[float], vol_shifts: typing.List[float])[source]¶ ” Container Class that describes a smile as a vector of deltas for moneyness, the atm volatility, and the shifts in order to recover non-atm vols. We choose to represent the values as the At-The-Money volatility and shifts in order to do parallel smile deformation without copying the entire smile.
Parameters: atm_vol : float
At-The-Money volatility value
moneyness : List[float]
Vector of deltas representing the abscissae of the smile.
vol_shifts: List[float]
Vector of relative shifts (relatively to the At-The-Money volatility) in order to describe the skew.
Attributes
atm_volmoneynessvol_shiftsvolatilities