risk-reversal
Calculate skew and butterfly values at a target delta from a single expiry's implied volatility surface to assess hedge costs and smile shape.
Instructions
Risk reversal and butterfly at a target delta, from one expiry's skew.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| rate | No | Annual risk-free rate as a decimal fraction (0.0546 is 5.46 %), CONTINUOUSLY compounded. Not the same convention as the `risk_free_rate` column that `spot-future-basis` and `funding-apr` emit: that is a US Treasury par yield, which is simple/bond-equivalent. Convert with r_cont = ln(1 + r_simple). | |
| at_ns | Yes | ||
| expiry_ns | Yes | ||
| underlying | Yes | ||
| asset_class | Yes | Which market answers. Required: this tool has an implementation for each of these and no symbol parameter to infer one from. | |
| target_delta | No |