search

lballabio / QuantLib-SWIG

QuantLib wrappers to other languages
Other
331 stars 280 forks source link

Example of SVI fitting #487

Open antoscha opened 1 year ago

antoscha commented 1 year ago

Dear developers,

I need some help. Could you please create an example of fitting the SVI curve given that we have volatility of bids and asks of a certain vector of strikes? I would be appreciated if you give me Python or Scala code, doing that.

Anton K.

github-actions[bot] commented 1 year ago

This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.

antoscha commented 3 months ago

Actually, it would be great to have the SviInterpolation class in SWIG code.