SurfaceModel

surface_lib::models::traits

Trait SurfaceModel 

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pub trait SurfaceModel {
    type Parameters;

    // Required methods
    fn parameters(&self) -> &Self::Parameters;
    fn validate_params(&self) -> Result<()>;
    fn total_variance(&self, k: f64, t: f64) -> Result<f64>;
    fn check_calendar_arbitrage(&self, k: f64, t1: f64, t2: f64) -> Result<()>;
    fn check_butterfly_arbitrage_at_k(&self, k: f64, t: f64) -> Result<()>;
}
Expand description

Surface model trait for implied volatility calculations

Required Associated Types§

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type Parameters

Required Methods§

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fn parameters(&self) -> &Self::Parameters

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fn validate_params(&self) -> Result<()>

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fn total_variance(&self, k: f64, t: f64) -> Result<f64>

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fn check_calendar_arbitrage(&self, k: f64, t1: f64, t2: f64) -> Result<()>

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fn check_butterfly_arbitrage_at_k(&self, k: f64, t: f64) -> Result<()>

Implementors§