Volatility Surface

VolatilitySurfaceMD

Implied volatility of options on an underlying as a function of strike and expiry.

Datasets representing this concept

1 dataset

Dataset	Role	Pure
volatility_surface	primary	Pure Model ->

Pure Class

FIBO-grounded class definition for this concept: properties, multiplicities, and source-column annotations. Per-dataset Mapping and Table blocks live on each dataset's Pure Model tab.

<<Lineage.parquetBacked>>
{Lineage.parquetPath = 'out/parquet/volatility_surface/**/*.parquet', Lineage.fiboModule = 'MD', Lineage.fiboConcept = 'VolatilitySurface', Lineage.datasetTitle = 'Volatility Surface'}
// Implied-volatility points by underlying, expiry, and strike, sampled monthly for option-bearing names.
Class fibo::md::VolatilitySurface
{
    // AsOfDate: The business date as of which a snapshot was taken (positions, prices, NAV, etc.).
    asOfDate : StrictDate[1];
    // Underlying: The instrument, index, or rate that a derivative\'s value is referenced to.
    underlyingInstrumentId : Integer[1];
    // ExpiryDate: The date a derivative contract expires; for options, the last date the right to exercise is available.
    expiryDate : StrictDate[1];
    // Strike: The price at which an option holder can exercise the right to buy or sell the underlying.
    strike : Decimal[1];
    // ImpliedVolatility: The volatility input that, when fed to an option pricing model, reproduces the option\'s market price.
    impliedVolatility : Decimal[1];
    // Source: Origin of the data (vendor, system, internal calculation), used for lineage and quality assessment.
    source : String[0..1];
}