ML Engineer MasterClass (April) | 6 seats left

Calibrate a Volatility Surface

Calibrate a Volatility Surface

Problem Statement

The Question

Interview question: "You have an end-of-day options chain for a single equity index: a grid of strikes, expiries, and mid-prices. Walk me through how you would calibrate an implied volatility surface from this data. What are the inputs, what constraints must the surface satisfy, and how would you use it downstream?"

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