Struct VolSurface 

pub struct VolSurface { /* private fields */ }

A canonical Black volatility surface anchored at reference_date.

Implementations

impl VolSurface

pub fn flat( vol: f64, reference_date: NaiveDate, day_count: DayCountConvention, ) -> Result<Self, VolError>

Constant volatility for all strikes and expiries.

pub fn from_strike_grid( expiries: &[Tenor], strikes: &[f64], vols: &[Vec<f64>], reference_date: NaiveDate, day_count: DayCountConvention, ) -> Result<Self, VolError>

Absolute strike x expiry grid.

pub fn from_moneyness_grid( expiries: &[Tenor], moneyness: &[f64], vols: &[Vec<f64>], reference_date: NaiveDate, day_count: DayCountConvention, ) -> Result<Self, VolError>

Forward moneyness (K/F) x expiry grid.

pub fn from_delta_grid( expiries: &[Tenor], deltas: &[f64], vols: &[Vec<f64>], reference_date: NaiveDate, day_count: DayCountConvention, ) -> Result<Self, VolError>

Forward call delta x expiry grid (FX convention). Each pillar is converted to log-moneyness with its own quoted vol: ln(K/F) = 0.5*sigma^2*t - sigma*sqrt(t)*inv_N(delta).

pub fn from_strike_smiles( expiries: &[Tenor], smiles: &[Vec<(f64, f64)>], reference_date: NaiveDate, day_count: DayCountConvention, ) -> Result<Self, VolError>

Per-expiry smiles on absolute strikes, where each expiry may have its own strike list (as quoted option chains do): smiles[i] is a list of (strike, vol) points for expiries[i], sorted by strike.

pub fn from_input( input: &VolInput, reference_date: NaiveDate, ) -> Result<Self, VolError>

Build from a deserialized VolInput, anchored at reference_date.

pub fn vol(&self, strike: f64, forward: f64, t: f64) -> f64

Black volatility for an option with the given absolute strike, forward price of the underlying at expiry, and year fraction t.

Strike dimension: linear in vol, flat wings. Time dimension: linear in total variance at the fixed smile coordinate, flat vol before the first and after the last expiry pillar.

pub fn bumped(&self, shift: VolShift) -> Result<VolSurface, VolError>

This surface with shift applied to every quoted vol — the smile shape, coordinate system and expiry pillars are preserved. Errors when any bumped vol would be non-positive (a shock that large is a data problem, not a market).

pub fn reference_date(&self) -> NaiveDate

pub fn day_count(&self) -> DayCountConvention

pub fn expiry_times(&self) -> &[f64]

Expiry pillar times (empty for a flat surface).

Trait Implementations

impl Clone for VolSurface

fn clone(&self) -> VolSurface

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for VolSurface

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Display for VolSurface

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Serialize for VolSurface

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.