Experimental Module

Bindings for QuantLib’s experimental features (ql/experimental/).

Warning

These features are from QuantLib’s experimental namespace and may change in future releases.

Volatility

SviSmileSection

class pyquantlib.SviSmileSection

Bases: SmileSection

Stochastic Volatility Inspired (SVI) smile section.

The SVI total variance formula is:

w(k) = a + b * (rho * (k - m) + sqrt((k - m)^2 + sigma^2))

where k = log(K/F) is the log-moneyness.

Parameters (passed as vector [a, b, sigma, rho, m]):

a: vertical translation (level) b: slope (must be >= 0) sigma: ATM curvature (must be > 0) rho: rotation (-1 < rho < 1) m: horizontal translation

__init__(*args, **kwargs)

Overloaded function.

  1. __init__(timeToExpiry: SupportsFloat | SupportsIndex, forward: SupportsFloat | SupportsIndex, sviParameters: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> None

Constructs from time to expiry, forward, and SVI parameters [a, b, sigma, rho, m].

  1. __init__(expiryDate: Date, forward: SupportsFloat | SupportsIndex, sviParameters: collections.abc.Sequence[SupportsFloat | SupportsIndex], dayCounter: DayCounter = <DayCounter: Actual/365 (Fixed)>) -> None

Constructs from expiry date, forward, SVI parameters [a, b, sigma, rho, m], and day counter.

The SVI (Stochastic Volatility Inspired) model parametrizes total variance:

\[w(k) = a + b \left( \rho (k - m) + \sqrt{(k - m)^2 + \sigma^2} \right)\]

where \(k = \log(K/F)\) is the log-moneyness.

Parameters (passed as vector [a, b, sigma, rho, m]):

Parameter

Description

Constraint

a

Vertical translation (level)

\(a + b\sigma\sqrt{1-\rho^2} \geq 0\)

b

Slope

\(b \geq 0\), \(b(1+\lvert\rho\rvert) \leq 4\)

sigma

ATM curvature (\(\sigma\))

\(\sigma > 0\)

rho

Rotation/skew (\(\rho\))

\(-1 < \rho < 1\)

m

Horizontal translation

-

 
import pyquantlib as ql

# SVI parameters: [a, b, sigma, rho, m]
svi_params = [0.04, 0.1, 0.3, -0.4, 0.0]

# Create smile section (T=1y, F=100)
smile = ql.SviSmileSection(1.0, 100.0, svi_params)

# Query volatilities
print(smile.volatility(100.0))  # ATM vol
print(smile.volatility(110.0))  # OTM call vol

# Price options
call_price = smile.optionPrice(110.0, ql.OptionType.Call)

Callable Bonds

CallableBondVolatilityStructure

class pyquantlib.base.CallableBondVolatilityStructure

Bases: TermStructure

Abstract base class for callable-bond volatility structures.

__init__(*args, **kwargs)
blackVariance(optionTime: SupportsFloat | SupportsIndex, bondLength: SupportsFloat | SupportsIndex, strike: SupportsFloat | SupportsIndex, extrapolate: bool = False) → float

Returns the Black variance.

maxBondLength() → float

Returns the maximum bond length.

maxBondTenor() → Period

Returns the maximum bond tenor.

maxStrike() → float

Returns the maximum strike.

minStrike() → float

Returns the minimum strike.

volatility(*args, **kwargs)

Overloaded function.

  1. volatility(optionTime: SupportsFloat | SupportsIndex, bondLength: SupportsFloat | SupportsIndex, strike: SupportsFloat | SupportsIndex, extrapolate: bool = False) -> float

Returns the volatility for a given option time and bond length.

  1. volatility(optionDate: Date, bondTenor: Period, strike: SupportsFloat | SupportsIndex, extrapolate: bool = False) -> float

Returns the volatility for a given option date and bond tenor.

Abstract base class for callable-bond volatility term structures.

CallableBondConstantVolatility

class pyquantlib.CallableBondConstantVolatility

Bases: CallableBondVolatilityStructure

Constant callable-bond volatility.

__init__(*args, **kwargs)

Overloaded function.

  1. __init__(referenceDate: Date, volatility: SupportsFloat | SupportsIndex, dayCounter: DayCounter) -> None

Constructs with reference date and scalar volatility.

  1. __init__(referenceDate: Date, volatility: QuoteHandle, dayCounter: DayCounter) -> None

Constructs with reference date and quoted volatility.

  1. __init__(settlementDays: SupportsInt | SupportsIndex, calendar: Calendar, volatility: SupportsFloat | SupportsIndex, dayCounter: DayCounter) -> None

Constructs with settlement days and scalar volatility.

  1. __init__(settlementDays: SupportsInt | SupportsIndex, calendar: Calendar, volatility: QuoteHandle, dayCounter: DayCounter) -> None

Constructs with settlement days and quoted volatility.

  1. __init__(referenceDate: Date, volatility: base.Quote, dayCounter: DayCounter) -> None

Constructs with reference date and quote (handle created internally).

  1. __init__(settlementDays: SupportsInt | SupportsIndex, calendar: Calendar, volatility: base.Quote, dayCounter: DayCounter) -> None

Constructs with settlement days and quote (handle created internally).

vol = ql.CallableBondConstantVolatility(today, 0.10, ql.Actual365Fixed())
# or with a Quote
vol = ql.CallableBondConstantVolatility(today, ql.SimpleQuote(0.10),
                                         ql.Actual365Fixed())

TreeCallableFixedRateBondEngine

class pyquantlib.TreeCallableFixedRateBondEngine

Bases: PricingEngine

Numerical lattice engine for callable fixed rate bonds.

__init__(*args, **kwargs)

Overloaded function.

  1. __init__(model: base.ShortRateModel, timeSteps: SupportsInt | SupportsIndex) -> None

Constructs tree engine with model and time steps.

  1. __init__(model: base.ShortRateModel, timeSteps: SupportsInt | SupportsIndex, termStructure: YieldTermStructureHandle) -> None

Constructs tree engine with model, time steps, and term structure.

  1. __init__(model: base.ShortRateModel, timeGrid: TimeGrid) -> None

Constructs tree engine with model and time grid.

  1. __init__(model: base.ShortRateModel, timeSteps: SupportsInt | SupportsIndex, termStructure: base.YieldTermStructure) -> None

Constructs tree engine (handle created internally).

TreeCallableZeroCouponBondEngine

class pyquantlib.TreeCallableZeroCouponBondEngine

Bases: TreeCallableFixedRateBondEngine

Numerical lattice engine for callable zero coupon bonds.

__init__(*args, **kwargs)

Overloaded function.

  1. __init__(model: base.ShortRateModel, timeSteps: SupportsInt | SupportsIndex) -> None

Constructs tree engine with model and time steps.

  1. __init__(model: base.ShortRateModel, timeSteps: SupportsInt | SupportsIndex, termStructure: base.YieldTermStructure) -> None

Constructs tree engine (handle created internally).

hw_model = ql.HullWhite(curve_handle, 0.03, 0.01)
engine = ql.TreeCallableFixedRateBondEngine(hw_model, 100)
bond.setPricingEngine(engine)
print(bond.cleanPrice())

BlackCallableFixedRateBondEngine

class pyquantlib.BlackCallableFixedRateBondEngine

Bases: PricingEngine

Black-formula callable fixed rate bond engine.

__init__(*args, **kwargs)

Overloaded function.

  1. __init__(fwdYieldVol: QuoteHandle, discountCurve: YieldTermStructureHandle) -> None

Constructs with forward yield volatility quote and discount curve.

  1. __init__(yieldVolStructure: QuantLib::Handle<QuantLib::CallableBondVolatilityStructure>, discountCurve: YieldTermStructureHandle) -> None

Constructs with callable bond volatility structure and discount curve.

  1. __init__(fwdYieldVol: base.Quote, discountCurve: base.YieldTermStructure) -> None

Constructs with quote and term structure (handles created internally).

  1. __init__(yieldVolStructure: base.CallableBondVolatilityStructure, discountCurve: base.YieldTermStructure) -> None

Constructs with vol structure and term structure (handles created internally).

BlackCallableZeroCouponBondEngine

class pyquantlib.BlackCallableZeroCouponBondEngine

Bases: BlackCallableFixedRateBondEngine

Black-formula callable zero coupon bond engine.

__init__(*args, **kwargs)

Overloaded function.

  1. __init__(fwdYieldVol: base.Quote, discountCurve: base.YieldTermStructure) -> None

Constructs with quote and term structure (handles created internally).

  1. __init__(fwdYieldVol: QuoteHandle, discountCurve: YieldTermStructureHandle) -> None

Constructs with forward yield volatility quote handle and discount curve handle.

# Black engine requires exactly one call/put date
vol = ql.CallableBondConstantVolatility(today, 0.10, dc)
engine = ql.BlackCallableFixedRateBondEngine(vol, discount_curve)
bond.setPricingEngine(engine)
print(bond.cleanPrice())
print(bond.impliedVolatility(target_price, curve, 1e-8, 200, 0.001, 0.50))

Credit

CdsOption

class pyquantlib.CdsOption

Bases: Option

Option on a credit default swap.

__init__(swap: CreditDefaultSwap, exercise: Exercise, knocksOut: bool = True) → None

Constructs a CDS option.

atmRate() → float

Returns the at-the-money rate.

impliedVolatility(*args, **kwargs)

Overloaded function.

  1. impliedVolatility(price: SupportsFloat | SupportsIndex, termStructure: YieldTermStructureHandle, defaultProbTS: DefaultProbabilityTermStructureHandle, recoveryRate: SupportsFloat | SupportsIndex, accuracy: SupportsFloat | SupportsIndex = 0.0001, maxEvaluations: SupportsInt | SupportsIndex = 100, minVol: SupportsFloat | SupportsIndex = 1e-07, maxVol: SupportsFloat | SupportsIndex = 4.0) -> float

Returns the implied volatility.

  1. impliedVolatility(price: SupportsFloat | SupportsIndex, termStructure: base.YieldTermStructure, defaultProbTS: base.DefaultProbabilityTermStructure, recoveryRate: SupportsFloat | SupportsIndex, accuracy: SupportsFloat | SupportsIndex = 0.0001, maxEvaluations: SupportsInt | SupportsIndex = 100, minVol: SupportsFloat | SupportsIndex = 1e-07, maxVol: SupportsFloat | SupportsIndex = 4.0) -> float

Returns the implied volatility (handles created internally).

riskyAnnuity() → float

Returns the risky annuity.

underlyingSwap() → CreditDefaultSwap

Returns the underlying CDS.

BlackCdsOptionEngine

class pyquantlib.BlackCdsOptionEngine

Bases: PricingEngine

Black-formula CDS option engine.

__init__(*args, **kwargs)

Overloaded function.

  1. __init__(defaultProbTS: DefaultProbabilityTermStructureHandle, recoveryRate: SupportsFloat | SupportsIndex, termStructure: YieldTermStructureHandle, vol: QuoteHandle) -> None

Constructs the Black CDS option engine.

  1. __init__(defaultProbTS: base.DefaultProbabilityTermStructure, recoveryRate: SupportsFloat | SupportsIndex, termStructure: base.YieldTermStructure, vol: base.Quote) -> None

Constructs the Black CDS option engine (handles created internally).

termStructure() → YieldTermStructureHandle

Returns the term structure handle.

volatility() → QuoteHandle

Returns the volatility handle.

SVI Helper Functions

pyquantlib.sviTotalVariance(a: SupportsFloat | SupportsIndex, b: SupportsFloat | SupportsIndex, sigma: SupportsFloat | SupportsIndex, rho: SupportsFloat | SupportsIndex, m: SupportsFloat | SupportsIndex, k: SupportsFloat | SupportsIndex) → float

Computes SVI total variance: a + b * (rho * (k - m) + sqrt((k - m)^2 + sigma^2)).

Parameters:

  • a – vertical translation

  • b – slope

  • sigma – ATM curvature

  • rho – rotation

  • m – horizontal translation

  • k – log-moneyness (log(K/F))

pyquantlib.checkSviParameters(a: SupportsFloat | SupportsIndex, b: SupportsFloat | SupportsIndex, sigma: SupportsFloat | SupportsIndex, rho: SupportsFloat | SupportsIndex, m: SupportsFloat | SupportsIndex, tte: SupportsFloat | SupportsIndex) → None

Validates SVI parameters for no-arbitrage conditions.

Checks:

  • b >= 0

  • |rho| < 1

  • sigma > 0

  • a + b * sigma * sqrt(1 - rho^2) >= 0

  • b * (1 + |rho|) <= 4

# Compute total variance directly
k = 0.1  # log-moneyness
var = ql.sviTotalVariance(0.04, 0.1, 0.3, -0.4, 0.0, k)

# Validate parameters (raises on invalid)
ql.checkSviParameters(0.04, 0.1, 0.3, -0.4, 0.0, 1.0)