pricing_volatility: 3 tools.
| Tool | What it does | Notes |
|---|---|---|
pricing_vol_surface | Builds a volatility surface and reads Black and/or local volatility on an expiry x strike grid: the market’s Black surface, Dupire local volatility from it, an Andreasen-Huge arbitrage-free interpolation calibrated to quotes (with its calibration error), a piecewise surface from smiles, an FX surface from delta-quoted vols, the Black surface implied by Heston parameters, or given / constant local vol. | |
pricing_smile | One expiry’s volatility smile: evaluates SABR (Hagan lognormal or normal, shifted, Floch-Kennedy, arbitrage-free), SVI or ZABR from parameters, or fits them (or interpolates linearly, cubically, Kahale arbitrage-free) to quoted strikes and vols. | |
pricing_risk_neutral_density | Risk-neutral probability density and distribution of the underlying at an expiry under Black-Scholes, Heston, Dupire local volatility, CEV or a square-root variance process: density and cumulative probability on a price grid (series + chart) and the price quantiles (e.g. the 1% and 99% tails). |
fincept_describe_tool.