Q.Options.ImpliedVol.InterpolatingSmile

Documentation

data InterpolatingSmile

Constructors

StrikeSmile

Fields

• smileForward :: Forward
• smileTenor :: YearFrac
• smileStrikes :: SortedVector Strike
• smileVols :: Vector Vol
• smileInterpolation :: StrikeInterpolation
• smileExtrapolation :: StrikeExtrapolation
• smileMinStrike :: Strike
• smileMaxStrike :: Strike

Instances

TimeSlice InterpolatingSmile Strike

Defined in Q.Options.ImpliedVol.InterpolatingSmile

Methods

totalVar :: InterpolatingSmile -> Strike -> TotalVar

impliedVol :: InterpolatingSmile -> Strike -> Vol