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Hard · derivatives · Quant Researcher interview question · volatility, interpolation, scipy, spline
Constructing a smooth volatility surface from discrete market quotes is fundamental for accurate derivative pricing and risk management. Interpolating in log-moneyness versus total variance space, rather than raw strike-volatility space, enhances numerical stability and helps maintain arbitrage-free conditions across the surface. Task Implement the function interpolate_vol_surface to estimate implied volatilities for a list of target strikes based on a set of known market quotes. The implementa