Interface | Description |
---|---|
LocalVolatilityCalculator |
Local volatility calculation.
|
Class | Description |
---|---|
DupireLocalVolatilityCalculator |
Local volatility computation based on the exact formula.
|
ImpliedTrinomialTreeLocalVolatilityCalculator |
Local volatility calculation based on trinomila tree model.
|
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Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.