Volatility

Implied volatility surface and all supporting classes. More...

Classes
class	julian::FlatVolatility
	Class implements flat volatility. More...
class	julian::Volatility
	The class interfaces volatility surface. More...

Detailed Description

Implied volatility surface and all supporting classes.

Module contains classes implementing implied volatility surface. The implied volatility of an option contract is that value of the volatility of the underlying instrument which, when input in an option pricing model (such as Black–Scholes) will return a theoretical value equal to the current market price of the option.

For more information about the volatility in finance see [21] [36] [42]