dupire
financepy.models.dupire
Class
Dupire
Dupire(
expiries,
strikes,
interest_rate,
dividend_yield,
call_prices = None,
implied_volatilities = None,
stock_price = None,
) -> None
Dupire local-volatility model.
The model recovers local volatility from a smooth surface of European
call-option prices.
For constant continuously compounded interest rate r and dividend
yield q,
sigma_loc^2(K,T)
dC/dT + (r-q) K dC/dK + q C
= ------------------------------------------------
0.5 K^2 d2C/dK2
The input surface may be supplied either as:
call_prices
or as:
implied_volatilities
If implied volatilities are supplied, stock_price must also be supplied.
The implied-volatility surface is converted internally into European
call prices.
The surface arrays must have shape
(num_expiries, num_strikes).
Methods
call_value
call_value(
self,
strike,
t_exp,
)
Return the interpolated European call-option price.
local_variance
local_variance(
self,
strike,
t_exp,
)
Return Dupire local variance at state level S = strike and
time t = t_exp.
local_volatility
local_volatility(
self,
strike,
t_exp,
)
Return Dupire local volatility at state level S = strike and
time t = t_exp.
local_volatility_curve
local_volatility_curve(
self,
strikes,
t_exp,
)
Return local volatility across strike for a fixed expiry.
local_volatility_surface
local_volatility_surface(
self,
strikes,
expiries,
)
Return the local-volatility surface.
The returned array has shape
(num_expiries, num_strikes).
Generated automatically from the FinancePy source code.
Do not edit this file manually.