NAME
VolSurface::Calibration::Equities
DESCRIPTION
This module implements Binary.com's volatility surface calibration algorithm which is based on SABR. The SABR (Stochastic alpha, beta, rho) model is a stochastic volatility model, which is used to estimate the volatility smile in the derivatives market. For a more general overview of the general SABR model, please refer https://en.wikipedia.org/wiki/SABR_volatility_model.
VERSION
Version 0.02
calibration_param_names
Calibration parameter names. It is hard-coded here because it needs to be in this sequence.
term_by_day
Get all the terms in a surface in ascending order.
parameterization
The parameterized (and, thus, smoothed) version of this surface.
smile_points
The points across a smile.
It can be delta points, moneyness points or any other points that we might have in the future.
function_to_optimize
The function that we want to optimize.
default_initial_guess
Initial guess for parameters. We need to start with something.
strike_ratio
Bounds for moneyness (strike ratio of 1 is equivalent to 100% moneyness).
compute_parameterization
Returns a hash reference with new parameterization and calibration_error. These new parameters are calculated using the current parameterization values saved in cache if present, else it would use default parameterization.
my $new_values = $self->compute_parameterization; my $new_params = $new_values->{values}; my $new_calibration_error = $new_values->{calibration_error};
get_calibrated_surface
compute the calibrated surface with the parameters being passed. my $calibrated = $calibrator->get_calibrated_surface($parameters);
_calculate_calibrated_vol
The method that calculates calibrated vol using given parameters
_get_params_from
calculation metohds which mostly do "mathematical" jobs.
_calculate_skew
The calibration approach is based upon modeling the term structure of ATM Volatility and ATM Skew using exponential functions.
_calculate_kurtosis
kurtosis can be manipulated using a simple growth rate function. Kurtosis provides a symmetric control over the wings of a surface. Kurtosis basically shifts the wings of the curve in a symetric way.
_optimize
Algorithm change - now based on centroid calculations A function that optimizes a set of parameters against a function. This optimization method is based on Amoeba optimization. We use a form of the Downhill Simplex Method or Nelder-Mead (available as the R function optim). This can also be coded in other languages.
AUTHOR
Binary.com, <support at binary.com>
BUGS
Please report any bugs or feature requests to bug-volsurface-calibration-equities at rt.cpan.org, or through the web interface at http://rt.cpan.org/NoAuth/ReportBug.html?Queue=VolSurface-Calibration-Equities. I will be notified, and then you'll automatically be notified of progress on your bug as I make changes.
SUPPORT
You can find documentation for this module with the perldoc command. perldoc VolSurface::Calibration::Equities You can also look for information at:
RT: CPAN's request tracker (report bugs here) http://rt.cpan.org/NoAuth/Bugs.html?Dist=VolSurface-Calibration-Equities
AnnoCPAN: Annotated CPAN documentation
CPAN Ratings
http://cpanratings.perl.org/d/VolSurface-Calibration-Equities
Search CPAN
LICENSE AND COPYRIGHT
Copyright 2015 Binary.com. This program is free software; you can redistribute it and/or modify it under the terms of the the Artistic License (2.0). You may obtain a copy of the full license at: http://www.perlfoundation.org/artistic_license_2_0 Any use, modification, and distribution of the Standard or Modified Versions is governed by this Artistic License. By using, modifying or distributing the Package, you accept this license. Do not use, modify, or distribute the Package, if you do not accept this license. If your Modified Version has been derived from a Modified Version made by someone other than you, you are nevertheless required to ensure that your Modified Version complies with the requirements of this license. This license does not grant you the right to use any trademark, service mark, tradename, or logo of the Copyright Holder. This license includes the non-exclusive, worldwide, free-of-charge patent license to make, have made, use, offer to sell, sell, import and otherwise transfer the Package with respect to any patent claims licensable by the Copyright Holder that are necessarily infringed by the Package. If you institute patent litigation (including a cross-claim or counterclaim) against any party alleging that the Package constitutes direct or contributory patent infringement, then this Artistic License to you shall terminate on the date that such litigation is filed. Disclaimer of Warranty: THE PACKAGE IS PROVIDED BY THE COPYRIGHT HOLDER AND CONTRIBUTORS "AS IS' AND WITHOUT ANY EXPRESS OR IMPLIED WARRANTIES. THE IMPLIED WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE, OR NON-INFRINGEMENT ARE DISCLAIMED TO THE EXTENT PERMITTED BY YOUR LOCAL LAW. UNLESS REQUIRED BY LAW, NO COPYRIGHT HOLDER OR CONTRIBUTOR WILL BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, OR CONSEQUENTIAL DAMAGES ARISING IN ANY WAY OUT OF THE USE OF THE PACKAGE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.