Smile.Representations.StrikeSmileRepresentation¶

Classes

`List`	Methods
`StrikeSmileRepresentation`(atm_vol: float, ...)	Container class that describes a smile as a vector of strikes, the atm volatility, and the shifts in order to recover non-atm vols.

class Smile.Representations.StrikeSmileRepresentation.StrikeSmileRepresentation(atm_vol: float, strikes: typing.List[float], vol_shifts: typing.List[float])[source]¶

Container class that describes a smile as a vector of strikes, 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

strikes : List[float]

Vector of strikes 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_vol`
`strikes`
`vol_shifts`
`volatilities`