volsurf 1.0.0

Production-ready volatility surface library for derivatives pricing
Documentation 
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//! Local volatility extraction from implied volatility surfaces.
//!
//! Local volatility σ_loc(T, K) is the instantaneous volatility in the
//! Dupire framework. It is derived from the implied volatility surface
//! via the Dupire formula.
//!
//! # Usage
//! Compose [`DupireLocalVol`] around any [`VolSurface`](crate::surface::VolSurface)
//! rather than calling `local_vol()` on the surface directly. This keeps surface
//! types free of Dupire numerics.
//!
//! # References
//! - Dupire, B. "Pricing with a Smile" (1994)

pub mod dupire;

pub use dupire::DupireLocalVol;

use crate::error;
use crate::types::Vol;

/// Local volatility surface: σ_loc(T, K).
///
/// Separated from [`VolSurface`](crate::VolSurface) to avoid forcing every
/// surface implementation to embed Dupire finite-difference numerics.
/// Instead, compose [`DupireLocalVol`]
/// around any `Arc<dyn VolSurface>`.
pub trait LocalVol: Send + Sync + std::fmt::Debug {
    /// Local volatility at the given expiry and strike.
    fn local_vol(&self, expiry: f64, strike: f64) -> error::Result<Vol>;
}