├── .github └── workflows │ └── python-ci.yml ├── .gitignore ├── README.md ├── pyproject.toml ├── requirements.txt ├── setup.py └── volatility_arbitrage ├── __init__.py ├── estimation ├── skewness_estimation.ipynb └── variance_estimation.ipynb ├── pricing_model ├── __init__.py ├── cir_sanity_check.ipynb ├── heston_model.py ├── heston_sanity_check.ipynb ├── interface.py ├── skew_swap_expansion.ipynb └── weighted_variance_swap.py └── strategy ├── __init__.py ├── evaluation.py ├── fwd_skew_swap_sanity_check.ipynb ├── gamma_swap_sanity_check.ipynb ├── skewness_arbitrage.ipynb ├── var_swap_sanity_check.ipynb └── volatility_arbitrage.ipynb /.github/workflows/python-ci.yml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/junsu489/volatility_arbitrage/HEAD/.github/workflows/python-ci.yml -------------------------------------------------------------------------------- /.gitignore: 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