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hub / github.com/MarcusRainbow/QuantMath / new

Method new

src/data/volsurface.rs:463–471  ·  view source on GitHub ↗

Creates a flat vol surface. It requires a volatility, plus a calendar and a base date, which are used for calculating the time and hence the variance. The variance is calculated as of the base date. If you need to time evolve the surface, this must be done by cloning and modifying the surface, or with a decorator.

(vol: f64, calendar: RcCalendar, base_date: DateDayFraction)

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Callers

nothing calls this directly

Calls 6

dateMethod · 0.80
volatilityMethod · 0.80
year_fractionMethod · 0.80
interpolateMethod · 0.45

Tested by

no test coverage detected