Last updated: 2023-03-16.

Module: tf_quant_finance.experimental.svi

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SVI model.

Functions

calibration(...): Calibrates the SVI model parameters for a batch of volatility skews.

implied_volatility_from_raw_svi_parameters(...): Computes modeled implied volatility using raw SVI parameters.

total_variance_from_raw_svi_parameters(...): Computes modeled total variance using raw SVI parameters.