Module net.finmath.lib
Package net.finmath.marketdata.model.volatility.caplet.smile

Interface SmileInterpolationExtrapolationMethod

All Known Implementing Classes:
LinearSmileInterpolater
public interface SmileInterpolationExtrapolationMethod
Interface for a Smile inter and extrapolation.

  • Method Details

    • calculateInterpolatedExtrapolatedSmileVolatility

      double calculateInterpolatedExtrapolatedSmileVolatility​(double strike, int rowIndex)