quantfin-0.1.0.2: Quant finance library in pure Haskell.

Safe HaskellNone
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 -> 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.

localVol Source

Arguments

:: (VolSurf a, YieldCurve b) 
=> a

Volatility surface

-> Double

Initial stock price

-> b

YieldCurve to generate forwards

-> Double

Current stock level

-> Time

Time

-> Double

Local volatility

Calculates Dupire local vol for a given strikematurityforward generating yield curve.

Instances

data FlatSurf Source

A flat surface has one volatility at all times/maturities.

Constructors

FlatSurf Double 

Instances

data GridSurf Source

Constructors

GridSurf 

Fields

gridStrikes :: [Double]
 
gridMaturities :: [Time]
 
gridQuotes :: Map (Double, Time) Double
 
gridStrikeInterpolator :: Interpolator1d
 
gridTimeInterpolator :: Interpolator1d
 

Instances