MCPcopy Create free account
hub / github.com/MarcusRainbow/QuantMath / VolSurface

Interface VolSurface

src/data/volsurface.rs:39–230  ·  view source on GitHub ↗

The low-level representation of a vol surface, as supplied in the input market data. We always return variances rather than vols, because vols would also require some measure of time, and we'd rather keep that private to the vol surface. (For example, it may differ from underlier to underlier.)

Source from the content-addressed store, hash-verified

source not stored for this graph (policy: none)

Callers 15

varianceMethod · 0.80
forward_variancesMethod · 0.80
constant_expiry_dynamicsFunction · 0.80
rolling_expiry_dynamicsFunction · 0.80
forward_variancesMethod · 0.80
flat_vol_surfaceFunction · 0.80
calculate_substeppingFunction · 0.80
fetch_pathFunction · 0.80

Implementers 2

volsurface.rssrc/data/volsurface.rs
voldecorators.rssrc/data/voldecorators.rs

Calls

no outgoing calls

Tested by

no test coverage detected