NAME
Quant::Framework::VolSurface::Delta
DESCRIPTION
Represents a volatility surface, built from market implied volatilities.
SYNOPSIS
my $surface = Quant::Framework::VolSurface::Delta->new({underlying_config => $underlying_config});
ATTRIBUTES
type
Return the surface type
variance_table
A variance surface. Converted from raw volatility input surface.
surface_data
The original surface data.
get_volatility
Expects 3 mandatory arguments as input.
1) from - Date::Utility object 2) to - Date::Utility object 3) delta | strike | moneyness.
Calculates volatility from the surface based input parameters.
USAGE:
my $from = Date::Utility->new('2016-06-01 10:00:00');
my $to = Date::Utility->new('2016-06-01 15:00:00');
my $vol = $s->get_volatility({delta => 25, from => $from, to => $to});
my $vol = $s->get_volatility({strike => $bet->barrier, from => $from, to => $to});
my $vol = $s->get_volatility({delta => 50, from => $from, to => $to});
get_smile
Calculate the requested smile from volatility surface.
get_variances
Calculate the variance for a given date based on volatility surface data.
get_weight
Get the weight between to given dates.
interpolate
Quadratic interpolation to interpolate across smile ->interpolate({smile => $smile, sought_point => $sought_point});
get_market_rr_bf
Returns the rr and bf values for a given day
get_smile_expiries
An array reference of that contains expiry dates for smiles on the volatility surface.