Implied Volatility Surface Construction L1-442
Unclaimed Principle — open for contribution
This Principle is declared in the catalog but has no reference solver, no pinned dataset, and is not registered on-chain. There is no reward pool. Submitting a cert against this Principle today will record the cert for reproducibility but pay zero PWM.
To claim it as a Bounty #7 contribution: open a PR adding (1) a reference solver, (2) ≥1 dataset pinned to IPFS, (3) updates to the L3 manifest with dataset CIDs. After verifier-agent triple-review, the founders' 3-of-5 multisig signs PWMRegistry.register() and the Principle becomes mineable.
Forward model E
\sigma_impl(k, T) modeled by SVI parameterization: w(k) = a + b\cdot (rho\cdot (k-m) + \sqrt{(k-m) \cdot \cdot 2 + \sigma \cdot \cdot 2))Implied Volatility Surface Construction: Implied vol surface construction: build smooth, arbitrage-free implied volatility surface from sparse market quotes. The forward operator produces the measurement through a 3-node primitive DAG (S.interpolation.cubic_spline…); recovery is posed as a nonlinear_inverse problem. Difficulty tier delta=3 with effective condition number kappa_eff~30; sparse_data_interpolation_error, butterfly_arbitrage_violation set the accuracy floor at the Omega boundary. See the forward_model field for the closed-form equation.
L-DAG
Well-posedness W
- Existence:
- true
- Uniqueness:
- true
- Stability:
- conditional
- κ:
- 500
Existence of the recovered implied_vol_surface is guaranteed within the declared Omega bounds. Uniqueness holds on the measurement-supported subspace; out-of-support modes are controlled by declared priors. Stability is conditionally stable (kappa_eff ~= 30); sparse_data_interpolation_error dominates the stability cliff; the remaining mismatch parameters contribute higher-order bias terms. Market bid ask gaussian sets the irreducible data-fidelity floor.
Solvability C
- Solver class:
- classical [SVI_SSVI_calibration or parametric_surface_fit]
- Convergence rate q:
- 2
- Complexity:
- O(N_slices * N_params_SVI) per calibration per iteration