Q.Options.ImpliedVol.Surface

Documentation

data Surface v k

Implied volatility surface where the strikes are in the space of k and implied volatility time slice is v.

Constructors

Surface

Fields

• surfaceSpot :: Spot

  Spot.

• surfaceTenors :: SortedVector YearFrac

  Ordered list of tenors.

• surfaceForwardCurve :: YearFrac -> Forward

  The forward curve.

• surfaceDiscountCurve :: YearFrac -> DF

  The discount curve.

• surfaceAtmTotalVar :: YearFrac -> TotalVar

  A spline of the at the money total variance.

• surfaceVols :: Map YearFrac v

  Map from tenor to TimeSlice

• surfaceTimeInterpolation :: TimeInterpolation

  Method of interpolation between tenors.

• surfaceType :: VolType

  The type of surface.

totalVarKT :: (StrikeSpace k, TimeSlice v k) => Surface v k -> Strike -> YearFrac -> TotalVar

fwdTotalVarKT :: (StrikeSpace k, TimeSlice v k) => Surface v k -> Strike -> YearFrac -> Strike -> YearFrac -> TotalVar

volKT :: (StrikeSpace k, TimeSlice v k) => Surface v k -> Strike -> YearFrac -> Vol