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poc in python for Lee extrapolation

Project description

# 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.

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0.1

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