Safe Haskell | None |
---|---|
Language | Haskell2010 |
Documentation
The VolSurf
class defines the
basic operations of a volatility surface.
Minimal complete definition: vol
.
vol :: VolSurf a => a -> Double -> Time -> Double Source
Calculate the implied vol for a given strike/maturity.
var :: VolSurf a => a -> Double -> Time -> Double Source
Calculate the variance at a given strike/maturity.
:: (VolSurf a, YieldCurve b) | |
=> a | Volatility surface |
-> Double | Initial stock price |
-> b |
|
-> Double | Current stock level |
-> Time | Time |
-> Double | Local volatility |
Calculates Dupire local vol for a given strikematurityforward generating yield curve.
A flat surface has one volatility at all times/maturities.