NAME

Quant::Framework::VolSurface::Delta

DESCRIPTION

Represents a volatility surface, built from market implied volatilities.

SYNOPSIS

    my $surface = Quant::Framework::VolSurface::Delta->new({underlying_config => $underlying_config});

ATTRIBUTES

type

Return the surface type

variance_table

A variance surface. Converted from raw volatility input surface.

surface_data

The original surface data.

get_volatility

Expects 3 mandatory arguments as input.

1) from - Date::Utility object 2) to - Date::Utility object 3) delta | strike | moneyness.

Calculates volatility from the surface based input parameters.

USAGE:

  my $from = Date::Utility->new('2016-06-01 10:00:00');
  my $to   = Date::Utility->new('2016-06-01 15:00:00');
  my $vol  = $s->get_volatility({delta => 25, from => $from, to => $to});
  my $vol  = $s->get_volatility({strike => $bet->barrier, from => $from, to => $to});
  my $vol  = $s->get_volatility({delta => 50, from => $from, to => $to});

get_smile

Calculate the requested smile from volatility surface.

get_variances

Calculate the variance for a given date based on volatility surface data.

get_weight

Get the weight between to given dates.

interpolate

Quadratic interpolation to interpolate across smile ->interpolate({smile => $smile, sought_point => $sought_point});

get_market_rr_bf

Returns the rr and bf values for a given day

get_smile_expiries

An array reference of that contains expiry dates for smiles on the volatility surface.

cpanm Quant::Framework

perl -MCPAN -e shell
install Quant::Framework