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Method modify

src/data/volsurface.rs:312–343  ·  view source on GitHub ↗

Decorate or modify a vol surface to cope with a change from the base date when the surface was calibrated to the spot date now.

(&self, surface: &mut RcVolSurface, spot_date: Date)

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Callers 3

constant_expiry_dynamicsFunction · 0.80
rolling_expiry_dynamicsFunction · 0.80
vol_surfaceMethod · 0.80

Calls 8

approx_eqFunction · 0.85
dateMethod · 0.80
year_fractionMethod · 0.80
base_dateMethod · 0.45
calendarMethod · 0.45
cloneMethod · 0.45
forwardMethod · 0.45
interpolateMethod · 0.45

Tested by 2

constant_expiry_dynamicsFunction · 0.64
rolling_expiry_dynamicsFunction · 0.64