Module svi_model 

Stochastic Volatility Inspired (SVI) model implementation

The SVI model provides a parametric form for the implied volatility surface that is both flexible and enforces no-arbitrage conditions. The total variance w(k,t) is given by:

w(k) = a + b * (ρ(k-m) + sqrt((k-m)² + σ²))

where k is log-moneyness, and the parameters are:

• a: vertical shift (controls ATM level)
• b: slope factor (controls overall level)
• ρ: asymmetry parameter (skew, -1 < ρ < 1)
• m: horizontal shift (ATM location)
• σ: curvature parameter (controls smile curvature)

Structs

SVIModel

Represents the full SVI volatility surface across multiple maturities.

SVIParams

Parameters for the SVI (Stochastic Volatility Inspired) model for a single maturity.

SVISlice

Represents the SVI volatility model for a single maturity slice. Contains the parameters and implements the SVI calculation logic.

Functions

interpolate_svi_params

Interpolates SVIParams across maturities using linear interpolation. Returns SVIParams for the requested time t.