Surface class demo

Must remember that rBergomi class needs a "generate surface" method.

The file structure should be such that this isn't required?



In [1]:

    
import os
os.chdir('/Users/ryanmccrickerd/desktop/phd/2017-18/extended-rmc/')



In [2]:

    
import pandas as pd
import numpy as np



In [3]:

    
from rbergomi.surface import Surface



In [4]:

    
ccy, date = 'GBPUSD','2017-08-01'
surf = Surface(ccy, date)

Attributes



In [7]:

    
surf.surface
# surf.deltas
# surf.tenors 
# surf.maturities
# surf.vols

Methods



In [51]:

    
surf.put_deltas()
# surf.strikes()
# surf.logstrikes()
# surf.forward_deltas()
# surf.variance_splines()
# surf.skew()
# surf.integrated_variances()
# surf.xi()

Must give first and second deriv curves, THEN evaluate.

	10P	25P	ATM	25C	10C
1W	0.085812	0.082062	0.079525	0.080637	0.083687
1M	0.080862	0.075775	0.072450	0.073625	0.077137
3M	0.087424	0.079511	0.074150	0.074437	0.078474
6M	0.098001	0.086963	0.079350	0.078788	0.083500
1Y	0.109688	0.095550	0.085675	0.084100	0.088913

	10P	25P	ATM	25C	10C
1W	0.1	0.25	0.497800	0.75	0.9
1M	0.1	0.25	0.495828	0.75	0.9
3M	0.1	0.25	0.492605	0.75	0.9
6M	0.1	0.25	0.488809	0.75	0.9
1Y	0.1	0.25	0.482916	0.75	0.9