svi

financepy.models.svi

Class

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.