Event Var Fitter

• Calibrate “event variance” related to events like earnings 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.
• Use parametric term structure fit of clean variance, maximizing “smoothness”.