Module fang_oost_option::option_calibration

Solves the inverse problem: find the parameters which most closely appoximate the option prices available in the market. Requires specification of a characeteristic function. Some useful characteristic functions are provided in the cf_functions repository. This module works by fitting a monotonic spline to transformed option data from the market. Then the empirical characteristic function is estimated from the spline. A mean squared optimization problem is then solved in complex space between the analytical characteristic function and the empirical characteristic function. For more documentation and results, see fang_oost_cal_charts. Currently this module only works on a single maturity at atime. It does not calibrate across all maturities simultanously.

Structs

OptionData

OptionDataMaturity

Functions

adjust_domain

Returns transformed strikes. Used to transform the option prices for spline fitting.

generate_fo_estimate

Returns iterator over discrete empirical characteristic function

get_option_spline

Returns spline function

max_zero_or_number

obj_fn_cmpl

Returns function which computes the mean squared error between the empirical and analytical characteristic functions for a vector of parameters.

obj_fn_real

Returns function which computes the mean squared error between the empirical and analytical option prices.

transform_price

Returns scaled prices