SVI SSVI SABR calibration
SVI, SSVI, and SABR calibration for product systems.
Surface models matter most when their outputs can move into pricing, Greeks, scenarios, and spread workflows without translation.
Problem
Why this needs one shared risk path
Calibration routines are often isolated notebooks that never become product-grade infrastructure.
Model choice affects diagnostics, extrapolation behavior, and downstream risk.
Surface readouts need to be reproducible and inspectable.
Workflow
How FerroRisk handles it
Select the model family
SVI, SSVI, and SABR are named explicitly as surface workflows.
Calibrate with quality gates
Fit diagnostics help distinguish usable surfaces from surfaces that should be rejected or reviewed.
Expose readouts
Smile panels and surface outputs can be consumed by applications, chain analytics, and scenario systems.
Fit
What makes this FerroRisk-shaped
Docs include dedicated surface calibration and smile panel use cases.
The engine is pure Rust and designed for production use.
Surface outputs sit beside pricing and risk primitives.
Questions
Common concerns
Why separate SVI, SSVI, and SABR?
Different products and markets need different surface model behavior. FerroRisk keeps model choice explicit.
Are diagnostics exposed?
Yes. Fit-quality diagnostics are part of the public FerroRisk positioning.
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