C# (CSharp) SVI示例

示例#1

文件： AssetSmileSolver.cs 项目： wy6688/qwack

 public double CalcVolSviRaw(double k, SviRawParameters currentSVI) => SVI.SVI_Raw_ImpliedVol(currentSVI.A, currentSVI.B, currentSVI.Rho, k, _fwd, _tExp, currentSVI.M, currentSVI.Sigma);

示例#2

文件： SVIVolSurface.cs 项目： wy6688/qwack

 public static double GetVolForAbsoluteStrike(double strike, double maturity, double forward, SviRawParameters rawParams)
 => SVI.SVI_Raw_ImpliedVol(rawParams.A, rawParams.B, rawParams.Rho, strike, forward, maturity, rawParams.M, rawParams.Sigma);