Safe Haskell	None
Language	Haskell2010

Quant.Models.Dupire

Synopsis

Documentation

Dupire represents a Dupire-style local vol model.

Constructors

forall a b . (YieldCurve a, YieldCurve b) => Dupire	`YieldCurve` to generate discount rates
Fields dupireInitial :: Double Initial asset level dupireFunc :: Time -> Double -> Double Local vol function taking a time to maturity and a level mertonForwardGen :: a `YieldCurve` to generate forwards mertonDiscounter :: b

Instances