Struct VolSurface 

pub struct VolSurface { /* private fields */ }

A volatility surface built from a collection of VolPoints.

Internally stores a sorted grid of unique strikes and expiries, with bilinear interpolation for queries inside the grid.

Implementations

impl VolSurface

pub fn from_points(points: Vec<VolPoint>) -> Self

Build a VolSurface from a collection of VolPoints.

Duplicate (strike, expiry) pairs are averaged. Gaps in the grid are filled with the nearest known value (nearest-neighbour fallback).

pub fn interpolate(&self, strike: f64, expiry: f64) -> Option<f64>

Bilinear interpolation for (strike, expiry).

Returns None if the query is outside the grid boundaries.

pub fn atm_vol(&self, expiry: f64) -> Option<f64>

Implied vol at-the-money (spot = strike) for a given expiry.

Uses interpolation across the strike axis at the nearest available expiry (or interpolates between expiries). Returns None outside grid.

For a pure ATM query the surface must contain strikes that bracket the spot level; this implementation takes ATM as the midpoint of the strike range at the given expiry as a proxy when no spot is provided. Use interpolate with strike = spot for a proper ATM vol lookup.

pub fn term_structure(&self) -> Vec<(f64, f64)>

Returns (expiry, atm_vol) pairs for all grid expiries, sorted by expiry.

pub fn smile(&self, expiry: f64) -> Option<VolSmile>

Returns a VolSmile at the given expiry (interpolated between grid expiries).

Returns None if the expiry is outside the grid.

Trait Implementations

impl Clone for VolSurface

fn clone(&self) -> Self

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.