Module vol_surface_cache 

Volatility surface cache for storing and querying implied volatility data.

This module provides an efficient cache for volatility surface data with:

• O(1) lookups for exact (strike, expiry) matches
• Bilinear interpolation for points between grid nodes
• Strike quantization to avoid floating-point comparison issues

Structs

BilinearPoint 🔒

DeltaCurveExport

Exported delta curve for a single expiry.

DeltaIvExport

Exported delta-IV pair for API responses.

DeltaIvPoint 🔒

A delta-IV pair on the vol smile for a single expiry.

VolPoint

A single point on the volatility surface.

VolatilitySurface

Volatility surface for a single underlying.

Constants

IV_EPS 🔒

Minimum IV change worth writing back after solving (avoids flapping).

IV_FLOOR 🔒

IV floor used during bisection; below this the option is effectively intrinsic.

PRICE_EPS 🔒

Tolerance for declaring a call-price arb violation (quote-unit dollars).

Functions

bs_call 🔒

find_bracketing_sorted 🔒

Find bracketing values in a sorted slice.

interpolate_curve 🔒

Linear interpolation on a sorted delta-IV curve.

normal_cdf 🔒

Normal CDF approximation (Abramowitz & Stegun 26.2.17).

solve_call_iv 🔒

Find σ in [IV_FLOOR, iv_hint] such that BS call price ≈ target. BS call is monotone increasing in σ, so bisection converges. If the lower bound’s price already exceeds target (target below intrinsic), returns IV_FLOOR.