poc in python for Lee extrapolation
# Fx vol package
This is a simple fx vol package to illustrate the Lee extrapolation. You need to export your own data in order to test it , the package just manipulate data, extrapolate the smile for various smile axis : delta spot, strike and logMoneyness and plot the smile obtain. You can play with the factor that will be apply on both wings.
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
|Filename, size & hash SHA256 hash help||File type||Python version||Upload date|
|fxvol-0.1-py3-none-any.whl (5.7 kB) Copy SHA256 hash SHA256||Wheel||py3|
|fxvol-0.1.tar.gz (3.7 kB) Copy SHA256 hash SHA256||Source||None|