Quant.VolSurf

Documentation

class VolSurf a where

The VolSurf class defines the basic operations of a volatility surface.

Minimal complete definition: vol.

Minimal complete definition

vol

Methods

vol :: VolSurf a => a -> Double -> Time -> Double

Calculate the implied vol for a given strike/maturity.

var :: VolSurf a => a -> Double -> Time -> Double

Calculate the variance at a given strike/maturity.

localVol

Arguments

:: (VolSurf a, YieldCurve b)

=> a

Volatility surface

-> Double

Initial stock price

-> b

YieldCurve to generate forwards

-> Double

Current stock level

-> Time

Time

-> Double

Local volatility

Calculates Dupire local vol for a given strikematurityforward generating yield curve.

Instances

VolSurf GridSurf

VolSurf FlatSurf

data FlatSurf

A flat surface has one volatility at all times/maturities.

Constructors

FlatSurf Double

Instances

VolSurf FlatSurf

data GridSurf

Constructors

GridSurf

Fields

gridStrikes :: [Double]

gridMaturities :: [Time]

gridQuotes :: Map (Double, Time) Double

gridStrikeInterpolator :: Interpolator1d

gridTimeInterpolator :: Interpolator1d

Instances

VolSurf GridSurf