Speed/Slope Vol Model

[adelano]

I once used a volatility interpolator wherein the user supplied a starting overnight vol (implied vol for expiration next day), an ending overnight vol (say, 1 year from now) a 'speed' and a 'slope'. It also featured weightings for additional expected variance (say a scheduled economic data release) set manually. The results were very satisfactory in backing out a fit from a market vol curve, and using those parameters from then on. I've not been able to find such a model with the precisely same names, just close approximations. Could anyone guess what speed and slope referred to? Thank you!

 

[code breaker]

Speed and slope in that context kind of reminds me of the slope formula where rise over run;Using that narrative I think slope for that would be: How big the volatility exactly is, and the speed being how fast the volatility is willing to change, from sudden slope upwards to sudden slope downwards or in-between state of equality.

This answer I have kind of reminds me of "Mean Reverting Stochastic Volatility".