ta_lib_in_rust::indicators::options::implied_volatility

Function term_structure_analysis

Source 
pub fn term_structure_analysis(
    _df: &DataFrame,
    _options_chain: &DataFrame,
    _atm_delta: f64,
) -> Result<Series, PolarsError>
Expand description

Calculate implied volatility term structure

Analyzes the relationship between IV and time to expiration to identify potential volatility expectations across different timeframes.

§Arguments

  • df - DataFrame with price data
  • options_chain - DataFrame with options data
  • atm_delta - Delta value for at-the-money options

§Returns

  • Result<Series, PolarsError> - Series of IV values for different expirations