Module surface
Structs§
- BidAsk
Inversion Error - BidAsk
IvBounds - BidAsk
Penalty - BidAsk
Penalty Record - BidAsk
Prices - Butterfly
Arbitrage Projection - Butterfly
Arbitrage Violation - Butterfly
Violation - Calendar
Arbitrage Violation - Dupire
Extraction Diagnostics - Dupire
Extraction Grid - Dupire
Extraction Policy - Dupire
Local VolPoint - Feasibility
Drop - Forward
Variance Interval - Forward
Variance Violation - Huber
Loss - Joint
Ssvi Calibration Bounds - Joint
Ssvi Calibration Policy - Joint
Ssvi Calibration Prior - Joint
Ssvi Globals - Local
VolSurface Grid - Normalized
Surface Quote - Parity
Consistency Report - Parity
Forward Curve - Parity
Forward Curve Point - Parity
Forward Curve Residual - Parity
Forward Estimate - Parity
Quote Pair - Sabr
Calibration Bounds - Sabr
Calibration Policy - Sabr
Calibration Prior - Sabr
Parameters - Sabr
Smile - Sabr
Surface - Ssvi
Calibration Bounds - Ssvi
Calibration Policy - Ssvi
Calibration Prior - Ssvi
Slice - Ssvi
Surface - Static
Arbitrage Check Policy - Static
Arbitrage Diagnostics - Surface
Butterfly Selection - Surface
Calibration Input - Surface
Calibration Outcome - Surface
Calibration Quality Thresholds - Surface
Calibration Report - Surface
Calibration Residual - Surface
Calibration Search Policy - Surface
Calibration Summary - Surface
Carry Inputs - Surface
Delta Coordinate - Surface
Delta Strike - Surface
Delta Strike Selection - Surface
Delta Strike Selection Request - Surface
Delta Wing Strike Selection - Surface
LogMoneyness - Surface
Market Context - Surface
Normalization Outcome - Surface
Normalization Policy - Surface
Normalization Report - Surface
PerTenor Forwards - Surface
Quality Filtered Outcome - Surface
Quote Adjustment - Surface
Quote Coordinate - Surface
Quote Observation - Surface
Quote Provenance - Surface
Quote Quality - Surface
Quote Quality Policy - Surface
Quote Quality Rejection - Surface
Quote Quality Report - Surface
Quote Quality Summary - Surface
Quote Treatment - Surface
Quote Weight - Surface
Rejected Quote - Surface
Repair Adjustment - Surface
Repair Input Outcome - Surface
Repair Outcome - Surface
Repair Policy - Surface
Repair Report - Surface
Repair Summary - Surface
Risk Reversal Selection - Surface
Selected Smile Point - Surface
Selection Quote Policy - Surface
Slice Calibration Report - Surface
Smile American Delta Strike Selection Request - Surface
Smile Delta Selection Policy - Surface
Smile Delta Strike Selection Request - Surface
Smile Risk Metrics - Surface
Smile Risk Reversal - Surface
Smile Risk Reversal Wing - Surface
Standardized Moneyness Wing - Surface
Standardized Moneyness Wing Selection - Surface
Tenor - Surface
Wing Smile Selection - SviCalibration
Policy - SviCalibration
Prior - SviNatural
Calibration Bounds - SviNatural
Parameters - SviRaw
Calibration Bounds - SviRaw
Parameters - SviSmile
- SviSurface
- Term
Variance Curve - Term
Variance Point - Trimmed
MseLoss
Enums§
- Acceptable
Reason - BidOr
Ask - Degeneracy
Reason - Failure
Reason - Feasibility
Drop Reason - Feasibility
Policy - Feasibility
Warning - FitQuality
- Forward
Variance Outcome - Loss
Function - Moneyness
Window - Surface
Calibration Model - Surface
Calibration Objective Space - Surface
Delta Convention - Surface
Normalization Adjustment Reason - Surface
Normalization Reject Reason - Surface
Price Source - Surface
Quote Quality Reject Reason - Surface
Quote Treatment Kind - Surface
Reference Price Policy - Surface
Repair Adjustment Reason - Surface
Slice Calibration Parameters - Surface
Smile Risk Reversal Wing Quality - Surface
Standardized Moneyness Wing Quality - SviCalibration
Parameterization - Term
Variance Coordinate - Theta
Term Structure - Theta
Term Structure Params
Constants§
- DEFAULT_
FORWARD_ PARITY_ RELATIVE_ TOLERANCE - DEFAULT_
PARITY_ MONEYNESS_ WINDOW - SMILE_
DELTA_ DEFAULT_ BRACKET_ EXPANSIONS - SMILE_
DELTA_ DEFAULT_ MAX_ ITERATIONS - SMILE_
DELTA_ DEFAULT_ OBJECTIVE_ TOLERANCE - SMILE_
DELTA_ DEFAULT_ RELATIVE_ TOLERANCE
Traits§
Functions§
- calibrate_
joint_ ssvi_ surface - calibrate_
sabr_ surface - calibrate_
ssvi_ surface - calibrate_
svi_ surface - check_
forward_ parity - diagnose_
static_ arbitrage - diagnose_
static_ arbitrage_ with_ policy - estimate_
parity_ forward - estimate_
parity_ forward_ curve - extract_
dupire_ local_ volatility - extract_
dupire_ local_ volatility_ grid - forward_
variance_ batch_ simd - forward_
variance_ between - normalize_
chain_ for_ surface - normalize_
chain_ for_ surface_ with_ forward_ overrides - prepare_
calibration_ input_ with_ quality_ policy - prepare_
calibration_ input_ with_ quality_ policy_ and_ forward_ overrides - repair_
sabr_ surface - repair_
ssvi_ surface - repair_
surface_ input - repair_
svi_ surface - select_
near_ atm_ parity_ pairs - surface_
butterfly_ from_ normalized_ quotes - surface_
butterfly_ from_ smile - surface_
delta_ from_ strike - surface_
delta_ grid - surface_
nearest_ strike - surface_
raw_ interpolated_ skew - surface_
risk_ reversal_ from_ normalized_ quotes - surface_
risk_ reversal_ from_ smile - surface_
select_ delta_ strike - surface_
select_ delta_ wing_ strikes - surface_
select_ smile_ american_ delta_ strike - surface_
select_ smile_ american_ delta_ wing_ strikes - surface_
select_ smile_ delta_ strike - surface_
select_ smile_ delta_ wing_ strikes - surface_
select_ standardized_ moneyness_ wing_ strikes - surface_
select_ wing_ normalized_ quotes - surface_
select_ wing_ smile_ points - surface_
signed_ delta_ from_ strike - surface_
smile_ iv_ at_ delta - surface_
smile_ risk_ metrics - surface_
smile_ risk_ reversal - surface_
strike_ from_ delta - surface_
strike_ from_ standardized_ moneyness - surface_
strike_ grid_ from_ deltas - term_
variance_ curve