This project summarizes the basic understanding of how interest rate modelling can used to find market volatility using Displaced Diffusion as well as SABR models derived from Black Scholes. The extension of using convexity correction on SABR and DD calibration for CMS valuation accurately defines the implied volitility to market volatility.
To run this project, you will need to have the following environment variables to your .env file
** This table will be updated for future versions
| Package | Version | Dependencies |
|---|---|---|
python |
3.10 | - |
math |
latest | python@3.10 |
numpy |
latest | python@3.10 |
scipy |
latest | python@3.10 |
pandas |
latest | python@3.10 |
matplotlib |
latest | python@3.10 |
- Options agnostics testing and valuation
- Modular volitility instantiation
- Test Driven Development
Kenny's Profile -
Shawn's Profile -
Prasad's Profile -
Python (No more no less, unless your software engineering skills are mind-blowingly 'powderful'.....)
Released under MIT by @DTMOS-SIM.