Crate regit_svi 

Focused SVI smiles, surfaces, calibration, and arbitrage evidence.

The crate is organized by the market-to-model workflow: validated market inputs, smile parametrisations, surfaces, calibration, arbitrage evidence, and density diagnostics. Numerical implementation details are private.

Quick start

use regit_svi::{Quote, calibration::quasi_explicit};

let quotes = [
    Quote::new(-0.20, 0.0512, 1.0)?,
    Quote::new(-0.10, 0.0432, 1.0)?,
    Quote::new(0.00, 0.0400, 1.0)?,
    Quote::new(0.10, 0.0420, 1.0)?,
    Quote::new(0.20, 0.0480, 1.0)?,
];
let fit = quasi_explicit::calibrate(&quotes)?;
assert!(fit.slice().total_variance(0.05) > 0.0);

Re-exports

pub use calibration::CalibrationReport;

pub use calibration::CalibrationResult;

pub use calibration::ConstraintMode;

pub use calibration::InitializationPolicy;

pub use calibration::ParameterizationEvidence;

pub use calibration::PhiFamily;

pub use calibration::RawParameterMargins;

pub use calibration::ResidualDiagnostics;

pub use calibration::SliceCalibrationConfig;

pub use calibration::SsviCalibration;

pub use calibration::SsviMaturity;

pub use calibration::SurfaceCalibrationConfig;

pub use calibration::SurfaceCalibrationReport;

pub use calibration::SurfaceParameterMargins;

pub use calibration::TerminationReason;

pub use density::DensityError;

pub use density::DensityReport;

pub use error::CalibrationError;

pub use error::ConvertError;

pub use error::ParamError;

pub use market::conventions::log_moneyness;

pub use market::conventions::total_variance_from_vol;

pub use market::quote::Quote;

pub use market::quote::SliceQuotes;

pub use market::quote::quotes_from_triples;

pub use market::units::LogMoneyness;

pub use market::units::Maturity;

pub use market::units::TotalVariance;

pub use no_arb::butterfly::ButterflyDiagnostic;

pub use no_arb::calendar::CalendarDiagnostic;

pub use no_arb::evidence::ArbitrageAssessment;

pub use no_arb::evidence::ArbitrageEvidence;

pub use no_arb::evidence::ArbitrageStatus;

pub use no_arb::evidence::DiagnosticError;

pub use no_arb::evidence::RawSearchStage;

pub use no_arb::evidence::RootEvidence;

pub use no_arb::evidence::RootTermination;

pub use no_arb::evidence::ScanConfig;

pub use no_arb::evidence::ScanEvidence;

pub use no_arb::evidence::SearchEvidence;

pub use smile::conversion::jw_to_raw;

pub use smile::conversion::raw_to_jw;

pub use smile::conversion::ssvi_to_raw;

pub use smile::jump_wings::SviJw;

pub use smile::raw::RawSvi;

pub use surface::ssvi::Phi;

pub use surface::ssvi::Ssvi;

pub use surface::TermStructure;

pub use surface::interpolation::Surface;

Modules

calibration

Raw-slice and SSVI-surface calibration.

density

Risk-neutral density implied by a raw SVI slice.

error

Typed error enums for parametrisation, conversion, and calibration.

market

Validated market inputs and SVI conventions.

no_arb

Static-arbitrage assessments and their evidence.

smile

Single-maturity SVI smile parametrisations and conversions.

surface

SSVI parametrisation, validated term structures, and interpolation.