Contributing

Contributions, bug reports, and feature requests are welcome. Open an issue or submit a PR on GitHub.

Development setup

git clone https://github.com/marwinsteiner/pysvi.git
cd pysvi
uv sync --dev
uv run pytest

Adding a parametrization

New models subclass Parametrization in src/pysvi/models.py and implement calibrate(k, w_target, **kwargs) and total_variance(k, params). Register the model in the get_model factory in src/pysvi/calibration.py, export it from __init__.py, add tests mirroring the existing per-model suites, and add a docs page under docs/models/ following the shared structure (overview, model, parameters, usage, arbitrage behaviour, references).

Wanted: the original Gamma-Vanna-Volga paper

The Gamma-Vanna-Volga parametrization is something of a holy grail in the quant vol surface literature and would be a great addition to this library. If you have a copy of the original paper, please send it to marwin.steiner@gmail.com.

License

MIT