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Calibration Package#

The calibration package provides a comprehensive suite of tools for fitting financial models to market data, estimating parameters from historical data, and calculating implied volatility surfaces.

  • Calibrator: The main class for orchestrating the optimization process to fit model parameters to market option prices.
  • VolatilitySurface: A class to compute and manage implied volatility surfaces from both market and model-generated prices.
  • Parameter Fitters: Utility functions to estimate specific parameters, such as fit_rate_and_dividend from put-call parity or fit_jump_params_from_history from historical returns.
  • Technique Selector: A helper function to automatically select the most efficient pricing technique for a given model.
  • IV Solvers: High-performance, vectorized solvers for calculating implied volatility.