BIT Coin Volatility Surface Construction For Share
This project construct BitCoin(BTC) volatility surface with SABR model as the smoothing function using option data from Deribit.com BTC option exchange (www.deribit.com)
QLib.py: Quant model library
generateBV(): generate bitcoin volatility object (BV)
get_vol(): vol point query API
m_sabr_calib(): run SABR calibration
m_sabr_vol(): get SABR fitted vol
deribitv2.py: Deribit.com v2 API wrapper
bitVolUtil.py: Utility function library
bitVolFlash.py: snapshotting hourly bitcoin option data\