Equity Vol Curve New
financepy.market.volatility.equity_vol_curve_new
Classes
EquityVolCurveNew
EquityVolCurveNew(strikes: numpy.ndarray, volatilities: numpy.ndarray, s: float, t_exp: float, r: float, q: float) -> None
Manage a volatility smile/skew at a single maturity.
The smile is interpolated using total variance in log-forward-moneyness:
$F = S * exp((r - q) * T)$
$k = log(K / F)$
$w(k) = sigma(k)^2 * T$
PCHIP interpolation is used to reduce artificial oscillation and
curvature relative to a standard cubic spline.
Methods
volatility
volatility(self, strike: float | numpy.ndarray) -> float | numpy.ndarray
Return interpolated volatility for the supplied strike.
calculate_pdf
calculate_pdf(self, smin: float, smax: float, n_intervals: int) -> tuple[numpy.ndarray, numpy.ndarray]
Calculate the smile-implied risk-neutral distribution.
Uses the spot, expiry, rates and dividend yield supplied when the
volatility curve was constructed.
forward
Return the forward price used by the smile.
Generated automatically from the FinancePy source code.
Do not edit this file manually.