Struct VolatilitySurface 

pub struct VolatilitySurface { /* private fields */ }

A volatility surface given as a grid of quoted points.

Maturities run along one axis and strikes along the other, and every cell holds the volatility quoted there. Between the grid lines the surface is bilinear: linear in maturity, linear in strike, in that order. Outside them it is held flat at the edge value — the same convention the yield curve uses, stated here for the same reason: it is an assumption, and an assumption that is written down can be argued with.

The grid is deliberately the whole model. A parametric fit — a smile function with its own coefficients — would produce a smooth surface everywhere, including where nothing was quoted, and its shape would come from the parametrisation rather than from the market. Interpolating what was actually quoted keeps the two apart.

validity bounds how far a caller may ask beyond the quoted range before the surface refuses to answer. Flat extrapolation one strike beyond the grid is a mild assumption; ten strikes beyond it is a fabrication, and the difference should not be silent.

Implementations

impl VolatilitySurface

pub fn new( reference: Date, maturities: Vec<f64>, strikes: Vec<f64>, volatilities: Vec<Vec<f64>>, day_count: DayCountConvention, validity: SurfaceValidity, ) -> Result<Self, ValuationContextError>

Builds a surface from a grid.

maturities are years from reference, strikes are prices, and volatilities is one row per maturity. Both axes must be finite, strictly ascending and non-empty, every volatility finite and non-negative, and the grid rectangular.

pub fn flat( reference: Date, volatility: f64, day_count: DayCountConvention, ) -> Result<Self, ValuationContextError>

A surface with one volatility everywhere — the compatible special case, so a caller who only has one number keeps working.

pub fn reference_date(&self) -> Date

pub fn volatility_at( &self, time: f64, strike: f64, ) -> Result<f64, ValuationContextError>

Volatility for a maturity in years and a strike.

pub fn volatility( &self, expiry: Date, strike: f64, ) -> Result<f64, ValuationContextError>

Volatility for an expiry date and a strike.

Trait Implementations

impl Clone for VolatilitySurface

fn clone(&self) -> VolatilitySurface

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for VolatilitySurface

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for VolatilitySurface

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for VolatilitySurface

fn eq(&self, other: &VolatilitySurface) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl Serialize for VolatilitySurface

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

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for VolatilitySurface