For Vanillas & vol derivatives (VIX, var, vol swaps)
And many others...
Built for options desks
auto fa = makeFactoryAnalytics();
auto fp = std::string("AEX_20160622-160000.000-CET_ocpf-eq.json.gz"); // serialized price fitter
auto ocpf = fa->makeOptionChainPricerFitterEquity(fp); // create fitter from serialized instance
auto oc = ocpf->optionChain(); // the option chain with contract information
auto ps = ocpf->priceSnapshot(); // price snapshot with price information
auto vcts = VecVCT{ VCT::C6, VCT::C10M }; // curve type to use for fitting vols
auto rf = ocpf->fit(ps, vcts); // fit price snapshot
auto vs = rf->volSurface(); // use the volsurface for pricing
auto ocp = fa->makeOptionChainPricerEquity(oc, vs) // create pricer
auto rp = ocp->price(); // compute prices and greeks for all options in the option chain
Trade any equity, ETF, futures, or index options off auto-fitted and/or easily adjusted curves.
Market maker quality valuations and vol surfaces in milliseconds.
Drop-in replacement for critical pricing and fitting infrastructure (C++, Python, Java, C#).
Supported directly by the quants who build it.
Cash dividend & forward modeling
Accurate and flexible, including “blending schemes”, large borrows (HTB), funding curves, etc.
Subtleties for modern markets
Rate term-structure pricing, vol-time, events, and settlement effects.
Intuitive and flexible parametric curves
Way beyond standard curves like SABR, SSVI, SVI (which are also available).
Implied borrow, forward and vol calculations
Fast, accurate and robust for any dividend model.
All greeks
Delta, gamma, vega, volga, vanna, rho, rhoBorrow, rhoDiv, thetas (with regard to rate or vol time), fugit.
Proper spot-vol dynamics
e.g. via “SSR”, is integrated throughout, for accurate “smart” delta and gamma, realistic spot scenarios (incl. overnight), and temporal smoothing without bias.
Vol surface shape transformations
Universal and intuitive across all curve types. Extend vol surfaces beyond listed expiries, or proxy to other names, etc.
Native fitting of W-shapes and bias-free fits
Even the most liquid names like SPX, SPY, ES, NVDA, TSLA, etc, including around events or periods of market turmoil.
Our clients trust Vola Dynamics to maintain their core valuation and risk analytics (pricing, greeks, volatility surface fitting, scenario analysis) for equity, futures and index options.
