Vol Curve


Vol Curve is a direct subtype of Valuation
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with functions Vol Curve Functions, keys Vol Curve keys and example object VolCrv

TYPE INCLUSION RELATIONSHIPS

Valuation

Vol Curve

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AVAILABLE FUNCTIONS

Create

Create Implied Vol Table

Delta From Strike

Implied ATM Strike

Implied Value

Strikes And Vols

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AVAILABLE CREATE FUNCTION KEYS

Calendar

CapFlr Vol Spec

Date Bump

DayCount

Disc Crv

Div Crv

FX Vol Set

FX Vol Spec

Flat Extrap Moneyness

Flat Extrapolation

Forc Crv

Impl Vol Spec

Impl Vols as Spreads

Implied Tables Config

Interp Method

Interp Missing Vols

Interp2D Method

Interpolator

Moneyness

Moneyness Spot

Monotone Var

Observ Lag

SABR Model

Settle Days

Sparse Conv Mkt Vols?

Sparse Impl Prices?

Sparse Impl Vols?

Sparse Mkt Prices?

Sparse Mkt Swaptions?

Spot

Spot FX

Src Crv

Sticky Strike

Tgt Crv

Vol

Vol Input

Vol Ref

Vol Set

Vol Table

Calibration Failure Info

Canonical Vol Table

CapFlr ATM Strikes

Dense Mkt Vols

Dense SABR Params

FX Vol Details

Forwards

Sparse ATM Fwd

Sparse Alpha

Sparse Beta

Sparse Conv Mkt Vols

Sparse Impl Prices

Sparse Impl Vols

Sparse Mkt Prices

Sparse Mkt Swaptions

Sparse Mkt Vols

Sparse Nu

Sparse Rho

Sparse SABR Params

</defs>

TYPICAL OBJECTS OF TYPE Vol Curve

VolCrv

</defs>

This type represents what practitioners understand under market available volatility information for all maturities.
The exact volatility definitions are listed in Vol Type
The various ways by which the volatility is represented are listed in Vol Input