Quant::Framework::VolSurface::Moneyness
Base class for strike-based volatility surfaces by moneyness.
The original surface data.
Return the surface type
minimum volatility spread that we can accept for this volatility surface.
Get the spot reference used to calculate the surface. We should always use reference spot of the surface for any moneyness-related vol calculation
USAGE:
my $vol = $s->get_volatility({moneyness => 96, from => $from, to => $to}); my $vol = $s->get_volatility({strike => $bet->barrier, from => $from, to => $to}); my $vol = $s->get_volatility({moneyness => 90, from => $from, to => $to});
Get the smile for specific day.
Usage:
my $smile = $vol_surface->get_smile($days);
This is how you could interpolate across smile. This uses the default interpolation method of the surface.
$surface->interpolate({smile => $smile, sought_point => $sought_point});
Returns the rr and bf values for a given day
An array reference of that contains expiry dates for smiles on the volatility surface.
To install Quant::Framework, copy and paste the appropriate command in to your terminal.
cpanm
cpanm Quant::Framework
CPAN shell
perl -MCPAN -e shell install Quant::Framework
For more information on module installation, please visit the detailed CPAN module installation guide.