1e-4 (default; squared-error residual on log-strike grid)
| source | SVI literature default (Gatheral-Jacquier 2014); numerical-fit convergence threshold |
| derivation | expert_judgment |
| quality | estimated |
| set | 2026-05-11 |
| last reviewed | 2026-05-11 |
| next review due | 2026-12-31 |
PL-07 closure (2026-05-11): retires the hardcoded ε=1e-4 default in svi_vol_surface. ε is the squared-error convergence tolerance on the SVI parametric fit to observed equity option IVs. Sensitivity LOW: numerical hyperparameter — controls how tightly the SVI surface fits the observed smile, not the smile shape itself. Tighter ε increases fit residual minimization but slows convergence. Calibration once DS-057 fetcher lands may refine this based on observed-vs-fitted RMSE distribution.