Enum BlackVarianceSurfaceExtrapolation
- Namespace
- NanoQL.TermStructures
- Assembly
- NanoQL.dll
How a BlackVarianceSurface extrapolates beyond its strikes: QuantLib's
BlackVarianceSurface::Extrapolation.
public enum BlackVarianceSurfaceExtrapolationFields
ConstantExtrapolation = 0The variance at the nearest strike, held flat.
InterpolatorDefaultExtrapolation = 1The interpolator's own extrapolation.