quantfin-0.1.0.1: Quant finance library in pure Haskell.

Safe HaskellSafe-Inferred
LanguageHaskell2010

Quant.VolSurf

Synopsis

Documentation

class VolSurf a where Source

The VolSurf class defines the basic operations of a volatility surface.

Minimal complete definition: vol.

Minimal complete definition

vol

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.

Instances

data FlatSurf Source

A flat curve is just a flat curve with one continuously compounded rate at all points on the curve.

Constructors

FlatSurf Double 

Instances