ssvi surface

financepy.models.ssvi_surface

Classes

SSVIPowerLawPhi

SSVIPowerLawPhi(
    eta,
    gamma,
) -> None

Power-law SSVI phi function phi(theta) = eta * theta^(-gamma)

Methods

value


value(
    self,
    theta,
)

No description available.

parameters


parameters(
    self,
)

No description available.

SSVISurface

SSVISurface(
    expiries = None,
    atm_total_variances = None,
    rho = None,
    phi_function = None,
) -> None

Inherits from: ImpliedVolatilitySurface

SSVI implied-volatility surface w(k, theta) = theta / 2 [ 1 + rho phi(theta) k + sqrt( (phi(theta) k + rho)^2 + 1 - rho^2 ) ] using the power-law specification phi(theta) = eta theta^(-gamma). The surface can either be constructed from known parameters or calibrated directly to a market implied-volatility grid.

Methods

calibrate


calibrate(
    self,
    forwards,
    strikes,
    expiries,
    implied_volatilities,
)

Jointly calibrate theta(T_1), ..., theta(T_N), rho, eta, gamma to the complete implied-volatility grid. The theta term structure is parameterized so that 0 < theta_1 < theta_2 < ... < theta_N. This guarantees monotonic ATM total variance.

theta


theta(
    self,
    t_exp,
)

Return ATM total variance theta(T). Linear interpolation is performed in total variance.

total_variance_from_log_moneyness


total_variance_from_log_moneyness(
    self,
    k,
    t_exp,
)

Return SSVI total implied variance.

total_variance


total_variance(
    self,
    forward,
    strike,
    t_exp,
)

No description available.

implied_volatility


implied_volatility(
    self,
    forward,
    strike,
    t_exp,
)

No description available.

implied_volatility_curve


implied_volatility_curve(
    self,
    forward,
    strikes,
    t_exp,
)

No description available.

implied_volatility_surface


implied_volatility_surface(
    self,
    forwards,
    strikes,
    expiries,
)

No description available.

parameters


parameters(
    self,
)

Return global SSVI parameters rho, eta, gamma.

atm_total_variances


atm_total_variances(
    self,
)

No description available.

expiries


expiries(
    self,
)

No description available.

Generated automatically from the FinancePy source code. Do not edit this file manually.