Function fang_oost_option::option_calibration::adjust_domain [−][src]
pub fn adjust_domain(normalized_strike: f64, discount: f64) -> f64
Expand description
Returns transformed strikes. Used to transform the option prices for spline fitting.
Examples
extern crate fang_oost_option;
use fang_oost_option::option_calibration;
let normalized_strike = 0.5;
let discount = 0.99; //discount factor
let adjustment = option_calibration::adjust_domain(normalized_strike, discount);