abaquant.derivatives.calibration

Import path: abaquant.derivatives.calibration

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

Package purpose

Model-calibration workflows.

How to use this package

Defines the package facade and supported import surface. Use this package when valuing contingent claims, calculating Greeks, building option strategies, simulating stochastic processes, or fitting models to market observations.

Package reference

Model-calibration workflows.

Purpose

The package exposes both legacy functional calibration helpers and structured calibration classes that return reusable result objects with model-versus-market fit diagnostics.

Conventions

Market implied volatilities are decimal annual volatilities and optimisation tolerances are numerical convergence thresholds.

References

[ 1 ] Heston, S. L. (1993), “A Closed-Form Solution for Options with Stochastic Volatility”. [ 2 ] Hagan, P. S., D. Kumar, A. S. Lesniewski, and D. E. Woodward (2002), “Managing Smile Risk”.

Modules

• abaquant.derivatives.calibration.core
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.derivatives.calibration.heston
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.derivatives.calibration.sabr
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference