Local-Volatility-Model

Objectives

This project aims to strip the Equity Local Volatility using SABR fitting method and test the calibration quality with Monte-Carlo.

Setting up the project

Run the file following commands, it will install dependencies and create a virtual environment for the project : In Windows :

python -m venv .venv
@REM Could also be python3 -m venv .venv 
.\.venv\Scripts\pip.exe install -r requirements.txt

In Linux/MacOS

python -m venv .venv 
# Could also be python3 -m venv .venv 
.\.venv\bin\pip install -r requirements.txt -U

Project Structure

Here's an overview of the project's structure:

Description

• src/: Contains all the source code for the project.
  • modele/: Contains all the modele of the project
• install_for_windows.bat: Batch file to set up the project on Windows.
• README.md: The readme file.
• notebook.ipynb: Contain all the application of the project.
• requirements.txt: Contains the list of dependencies for the project.

License

MIT

Authors

Naïm Lehbiben - naim.lehbiben@dauphine.eu