Svi
financepy.models.svi
Classes
SVI
SVI(a=None, b=None, rho=None, m=None, sigma=None) -> None
Raw SVI implied-volatility smile.
The total implied variance is
w(k)
=
a
+ b [
rho (k-m)
+ sqrt((k-m)^2 + sigma^2)
]
where
k = log(K/F).
The model may either be constructed from known parameters or calibrated
directly to an implied-volatility smile.
Methods
calibrate
calibrate(self, forward, strikes, implied_volatilities, t_exp)
Calibrate raw SVI parameters to a single implied-volatility smile.
Calibration is performed in total implied variance.
total_variance_from_log_moneyness
total_variance_from_log_moneyness(self, k)
No description available.
total_variance
total_variance(self, forward, strike)
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.
parameters
parameters(self)
No description available.
Generated automatically from the FinancePy source code.
Do not edit this file manually.