예제 #1
0
 private VolatilitySurface(ITimeMeasure time, MoneynessProvider moneyness,
                           VarianceInterpoler varianceInterpoler, LocalVariance localVariance)
 {
     Time = time;
     VarianceInterpoler = varianceInterpoler;
     Moneyness          = moneyness;
     LocalVariance      = localVariance;
 }
예제 #2
0
        public double LocalVol(double maturity, double strike)
        {
            double y = Moneyness.Moneyness(maturity, strike);

            return(Math.Sqrt(LocalVariance.Eval(maturity, y)));
        }