Implement volatility surface functionality #24
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In the previous commit I have used "@family build object helpers" for the vol objects, this caused conflict in the Rd file, I had to remove it . Now created a new family for vol object build. We can re-link the families a-posteriori
Vol surface implementation
using usethis::use_tidy_description()
Is unnecessary given you have the calibrated interpolator in the object
* `at` is a tibble rather than list
To be removed from VolSurface
from VolSurface interface
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@sefhamada - fyi |
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Fixes #23
Changes proposed:
VolQuotes()andVolSurface()allow you to create volatility surfaces. The latter can be interpolated by a two-dimensional interpolator viaLinearCubicTimeVarInterpolation()which uses linear interpolation in the maturity dimension (x), cubic splines in the smile dimension (y) for implied volatility squared (variance, z).VolSurfacemethod forinterpolate().