Metadata-Version: 2.0
Name: fxvol
Version: 0.1
Summary: poc in python for Lee extrapolation
Home-page: UNKNOWN
Author: Jerome Petit
Author-email: jerome.petit@misys.com
License: UNKNOWN
Description-Content-Type: text/markdown
Platform: UNKNOWN
Classifier: Programming Language :: Python :: 3
Classifier: License :: OSI Approved :: MIT License
Classifier: Operating System :: OS Independent

# Fx vol package

This is a simple fx vol package to illustrate the Lee extrapolation. You need to export your own data
in order to test it , the package just manipulate data, extrapolate the smile for various smile axis :
delta spot, strike and logMoneyness and plot the smile obtain. You can play with the factor that will be apply on both wings.

