From Local Volatility to Implied Volatility and Vice Versa

2021-02-21 鎰鏈科技

import dupire_local_vol as dlv
def implied_vol(t0, k):        price = bsm.price_quad(spot, k, r, q, t, loc_vol_model, N=10)        iv = bsm.find_iv(price, 'c', spot, k, r, q, t)       return iv   local_vol = dlv.DupireLocalVol(implied_vol,spot=100, rf=0.03, q=0)lv = []lv_exp = []for s in np.linspace(70, 150, 81):        lv.append(local_vol.loc_vol(1.0, s))        lv_exp.append(loc_vol_model(1.0, s))
ss = np.linspace(70, 150, 81)plt.title('Vol Model Compare')plt.plot(ss, lv, label='local vol from implied vol')plt.plot(ss, lv_exp, label='original local vol')plt.legend(frameon=False, loc='best')plt.show()

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From Local Volatility to Implied Volatility and Vice Versa

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