For vanillas and vol derivatives (including VIX, var & vol swaps)
For any asset class
And many others...
auto fa = makeFactoryAnalytics();
auto fp = std::string("AEX_20160622-160000.000-CET_ocpf-eq.json.gz"); // serialized price fitter
auto ocpf = fa->makeOptionChainPricerFitterEquity(fp); // create fitter from serialized instance
auto oc = ocpf->optionChain(); // the option chain with contract information
auto ps = ocpf->priceSnapshot(); // price snapshot with price information
auto vcts = VecVCT{ VCT::C6, VCT::C10M }; // curve type to use for fitting prices
auto rf = ocpf->fit(ps, vcts); // fit price snapshot
auto vs = rf->volSurface(); // use the volsurface for pricing
auto ocp = fa->makeOptionChainPricerEquity(oc, vs) // create pricer
auto rp = ocp->price(); // compute prices and greeks for all options in the option chain
Vola Dynamics offers the world's leading options pricer and volatility fitter.
Trade any equity, ETF, futures, or index options off auto-fitted curves and/or easily create your own. Price and hedge vol derivatives consistent with vanillas.
Relying on decades worth of research and trading, implemented in a modern Bayesian framework, using superior numerics. Automated trading even around high vol/opportunity events.
Drop-in replacement for the critical pricer and fitter components of your infrastructure (C++, Python, Java, C#).
Vola Pricer
Vola Fitter
Vola Curves
Vola Vol Derivatives
Vola VIX Pricer
Vola Discount Fitter
Vola PnL Explanation
Our clients trust Vola Dynamics to maintain their core valuation and risk analytics (pricing, greeks, volatility surface fitting, scenario analysis) for equity, futures and index options.
