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FinEquityVolSurfacePlus #76

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mattdoub opened this issue Mar 2, 2021 · 3 comments
Open

FinEquityVolSurfacePlus #76

mattdoub opened this issue Mar 2, 2021 · 3 comments

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@mattdoub
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mattdoub commented Mar 2, 2021 •
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Hi Dominic,

Would it be possible to adapt FinFXVolSurfacePlus to Equities in order to fit the vol surface with a set of delta strikes as input [10DP; 25DP; ATM; 25DC;10DC] (either provided through RiskReversals & Strangles or directly)?

Many thanks,
Matt
@domokane
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domokane commented Mar 3, 2021

Hi Matt - I am in the middle of a refactoring now. The aim is to make the library more pep8 compliant. This should be done in a week or two and then I will focus on your request.
Regards
D

@mattdoub
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mattdoub commented Mar 4, 2021

Hi Dominic - makes perfect sense.
Looking forward to this new feature. The vol levels pre&post covid is making it difficult to calibrate consistently vol surfaces according to moneyness. I believe this ability to calibrate in delta may come handy to a few.
Best,
Matt

@mattdoub
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mattdoub commented Jul 1, 2021

Hi Dominic - Did you have time to look at this one yet by any chance?
Happy to provide some sample data if needed.

Best,
Matt

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@domokane @mattdoub