py-volanalytics 0.1.0

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py_volanalytics

I would like to research and code up robust implementations of vol-fitting methods and analytics for pricing volatility derivatives. I would also like to write implementations of the core blocks one needs for such tasks - optimizers, fourier transforms, characteristic functions, FFT etc.

Over time, the cost of writing my own library and the understanding and flexibility that comes with it will hopefully outweigh the sunk cost of building things ground up.

Features

Installation

pip install py_volanalytics

References

• The local volatility surface, Emanuel Derman, 1996