| Safe Haskell | Safe-Inferred |
|---|---|
| Language | Haskell2010 |
Quant.VolSurf
Documentation
The VolSurf class defines the
basic operations of a volatility surface.
Minimal complete definition: vol.
Minimal complete definition
Methods
vol :: VolSurf a => a -> Double -> Double -> Double Source
Calculate the implied vol for a given strike/maturity.
var :: VolSurf a => a -> Double -> Double -> Double Source
Calculate the variance at a given strike/maturity.
Arguments
| :: (VolSurf a, YieldCurve b) | |
| => a | Volatility surface |
| -> Double | Initial stock price |
| -> b |
|
| -> Double | Current stock level |
| -> Double | Time |
| -> Double | Local volatility |
Calculates Dupire local vol for a given strikematurityforward generating yield curve.