Event Var Fitter

• Calibrate “event variance” related to events like earnings, FOMC, or elections.
• Estimate additional event variance at known event times from a vol surface or term structure of “dirty” vol.
• Given a “dirty” total variance term structure, find event variances that maximize the smoothness of the resulting “clean” variance term structure.
• Separate variance into “event variance” and “clean variance” to correctly price early exercise premium — often the single largest source of American option mispricing around events.
• Cross-name comparison: after removing event variance, ATM vol levels become directly comparable across names with events on different dates.
• Clean input for downstream models: term structure interpolation, PCA, and temporal filtering all work better on the smooth “clean” term structure.
• Lightweight workflow: specify event dates, run EVF, get a time converter that plugs directly into the Fitter and Pricer.
• See also Event Modeling for full decomposition of event jump distributions, and examples of earnings fits.