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hub / github.com/MarcusRainbow/QuantMath / vol_forward_dynamics

Method vol_forward_dynamics

src/instruments/mod.rs:110–112  ·  view source on GitHub ↗

Returns the forward dynamics for vol surfaces on this instrument. Defaults to sticky strike, so you need to override this for instruments that may have vol surfaces on them, where the dynamics should be something else such as sticky delta. Note that you can also do delta calculations with whatever dynamics you choose.

(&self)

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Callers 1

vol_surfaceMethod · 0.80

Implementers 4

bonds.rssrc/instruments/bonds.rs
basket.rssrc/instruments/basket.rs
assets.rssrc/instruments/assets.rs
options.rssrc/instruments/options.rs

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