Fits a SVI model for the given smile as defined by strikes and their respective variances. Time to maturity should also be provided for the non-arbitrage restriction.
Arguments
- variance
variances for the given strikes
- spot
underlying spot price
- strike
options strikes
- time
time to maturity in years
- rate
risk free rate
- yield
yield rate
- initial_guess
Initial guess used in the optimization process
See also
svi_var for SVI model variance calculation