Docs / nablatensor-quant / com.nablatensor.quant
record
LocalVolMarket
A parametric local-volatility market. The reference spot the CEV ratio is measured against is fixed at REF_SPOT.
Record components
Fields
static final double REF_SPOT
The spot the local-vol ratio (S / REF_SPOT) is anchored to.
Methods
LocalVolMarket validated()
static LocalVolMarket smile()