Struct ZabrLocalVolatility

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

QuantLib's local-volatility kernel for ZabrSmileSection<TEvaluation>: calls priced at the section's strike grid by finite differences on the Dupire equation under the model's local volatility (FdPrice(ReadOnlySpan<double>)), interpolated by a spline, and the volatility implied from those prices.

public readonly struct ZabrLocalVolatility : IZabrEvaluation

Implements

IZabrEvaluation

Inherited Members

ValueType.Equals(object)

ValueType.GetHashCode()

ValueType.ToString()

object.GetType()

object.Equals(object, object)

object.ReferenceEquals(object, object)