LocalVolModel

A parametric local-volatility model (CEV form) as a step block (Seam 5):

sigma_loc(S) = sigma0 * (S / S0) ^ skew
dS = r S dt + sigma_loc(S) S dW

skew = 0 is plain GBM; skew < 0 is the classic equity smile. sigma0 and skew are differentiable inputs, so the run returns the local-vol parameter risk alongside spot / rate / strike Greeks — the sensitivities a smile-calibration loop consumes.

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Constructors

LocalVolModel(Nabla.Inputs<LocalVolMarket> in, double refSpot, double maturity, int steps)

Methods

ADouble localVol(ADouble spot)

Local volatility at the current spot.

ADouble step(AadRecorder rec, ADouble spot, ADouble z)

static BiConsumer<AadRecorder, Nabla.Inputs<LocalVolMarket>> european(OptionType type, double maturity, int steps)