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Description: Improve the core input/data layer used by volatility calibration and pricing workflows. This milestone covers the data-structure and IO work needed before more advanced calibration workflows can rely on realistic market inputs. Scope: - Replace the current rectangular VolSurface assumptions with an irregular volatility surface representation. - Improve market data reading and writing utilities. - Add or improve Curve IO. - Support non-constant interest-rate curves instead of only flat-rate assumptions. - Add interpolation schemes needed for curves, volatility slices, and market-data preprocessing. - Update tests and fixtures affected by the new input/data model. Out of scope for this milestone: - Andreasen-Huge local volatility calibration. - Stochastic-local volatility. - Full static-arbitrage repair. - Production-grade market-data cleaning. - Large-scale calibration optimization. Candidate issues: - Replace rectangular VolSurface with irregular volatility surface representation. - Improve volatility surface input/output utilities. - Add Curve IO support. - Support non-constant rate curves. - Add interpolation schemes for market-data preprocessing.
No due date•0/3 issues closedImplement the first local volatility calibration workflow for UnifiedVol. This milestone covers the data-structure and modelling work needed before a usable Andreasen-Huge local volatility calibration can be added. Scope: - Replace the current rectangular volatility surface assumptions with irregular surface support. - Add Andreasen-Huge local volatility calibration. - Include B-spline-based local variance interpolation. - Add small synthetic tests and regression fixtures. - Document current assumptions, limitations, and numerical choices. Out of scope for this milestone: - Stochastic-local volatility. - Full arbitrage repair. - Production-grade smoothing. - Large-scale calibration optimization.
No due date•0/1 issues closed