Quant.Models.Dupire

Documentation

data Dupire

Dupire represents a Dupire-style local vol model.

Constructors

forall a b . (YieldCurve a, YieldCurve b) => Dupire

YieldCurve to generate discount rates

Fields

dupireInitial :: Double

Initial asset level

dupireFunc :: Double -> Double -> Double

Local vol function taking a time to maturity and a level

mertonForwardGen :: a

YieldCurve to generate forwards

mertonDiscounter :: b

Instances

Discretize Dupire