Safe Haskell	None
Language	Haskell2010

Q.Options.ImpliedVol.Surface

Synopsis

Documentation

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

Constructors

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.

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