FinEquityVolSurfacePlus

[mattdoub]

Hi Dominic,

Would it be possible to adapt FinFXVolSurfacePlus to Equities in order to fit the vol surface with a set of delta strikes as input [10DP; 25DP; ATM; 25DC;10DC] (either provided through RiskReversals & Strangles or directly)?

Many thanks,
Matt

[domokane]

Hi Matt - I am in the middle of a refactoring now. The aim is to make the library more pep8 compliant. This should be done in a week or two and then I will focus on your request.
Regards
D

[mattdoub]

Hi Dominic - makes perfect sense.
Looking forward to this new feature. The vol levels pre&post covid is making it difficult to calibrate consistently vol surfaces according to moneyness. I believe this ability to calibrate in delta may come handy to a few.
Best,
Matt

[mattdoub]

Hi Dominic - Did you have time to look at this one yet by any chance?
Happy to provide some sample data if needed.

Best,
Matt