abaquant.derivatives.analytics.volatility

Import path: abaquant.derivatives.analytics.volatility

Domain: Derivative pricing, simulation, calibration, diagnostics, and strategy analysis.

Purpose

Historical and implied-volatility analytics.

When to use it

This module computes derived diagnostics from prices, returns, or model outputs. Ensure inputs use the frequency and units stated by each function.

Public objects

  • function: realized_vol — Compute rolling realized volatility from a price series.

  • function: iv_rv_spread — Align implied and realized volatility series and compute their spread.

Detailed reference

Historical and implied-volatility analytics.

Purpose

The module computes rolling realized volatility from price data and aligns implied-versus-realized volatility spreads.

Conventions

Annualization defaults and rolling-window units are documented by each callable. Volatilities are decimal quantities.

References

[ 1 ] Black, F., and M. Scholes (1973), “The Pricing of Options and Corporate Liabilities”; Merton, R. C. (1973), “Theory of Rational Option Pricing”.

abaquant.derivatives.analytics.volatility.realized_vol(prices, window=21, annualize=252)

Compute rolling realized volatility from a price series.

Parameters:

  • prices (pandas.DataFrame or array-like) – Price observations with dates on the index and assets on columns where applicable.

  • window (int, default=21) – Rolling observation window length used for realized volatility.

  • annualize (int, default=252) – Annualization factor or flag accepted by the volatility routine.

Returns:

Result of the realized vol workflow.

Return type:

object

Notes

Model inputs are interpreted according to the module-level rate, maturity, and volatility conventions. Numerical outputs depend on the validity of those assumptions.

abaquant.derivatives.analytics.volatility.iv_rv_spread(iv_series, rv_series)

Align implied and realized volatility series and compute their spread.

Parameters:

  • iv_series (float or array-like) – Implied-volatility series in decimal annual units.

  • rv_series (float or array-like) – Realized-volatility series in decimal annual units.

Returns:

Computed iv rv spread in the units implied by the documented inputs.

Return type:

float