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jmholzer / probabilistic

Generate probability curves for the future price of publicly traded securities using options chain data.
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Interpolate discrete IV values to create continuous IV smile #2

Closed jmholzer closed 1 year ago

jmholzer commented 1 year ago

Create function for interpolation of discrete implied volatility values.

Use one interpolation method, method depends on outcome of https://github.com/jmholzer/probabilistic-pdfs/issues/1.

tyrneh commented 1 year ago

interpolating using cubic spline method within interp1d