pfhedge.nn.functional.svi_variance

pfhedge.nn.functional.svi_variance(input, a, b, rho, m, sigma)

Returns variance in the SVI model.

See pfhedge.nn.SVIVariance for details.

Parameters

• input (torch.Tensor or float) – Log strike of the underlying asset. That is, \(k = \log(K / S)\) for spot \(S\) and strike \(K\).

• a (torch.Tensor or float) – The parameter \(a\).

• b (torch.Tensor or float) – The parameter \(b\).

• rho (torch.Tensor or float) – The parameter \(\rho\).

• m (torch.Tensor or float) – The parameter \(m\).

• sigma (torch.Tensor or float) – The parameter \(s\).

Returns

torch.Tensor