private VolatilitySurface(ITimeMeasure time, MoneynessProvider moneyness, VarianceInterpoler varianceInterpoler, LocalVariance localVariance) { Time = time; VarianceInterpoler = varianceInterpoler; Moneyness = moneyness; LocalVariance = localVariance; }
public double LocalVol(double maturity, double strike) { double y = Moneyness.Moneyness(maturity, strike); return(Math.Sqrt(LocalVariance.Eval(maturity, y))); }