Uses of Class
com.quantfinlib.pricing.SsviSurface

Packages that use SsviSurface

Package	Description
com.quantfinlib.pricing	Option and derivatives pricing models, implied volatility and volatility surfaces.

Uses of SsviSurface in com.quantfinlib.pricing

Methods in com.quantfinlib.pricing that return SsviSurface

Modifier and Type	Method	Description
static SsviSurface	SsviSurface.calibrate(double spot, double rate, double carry, double[] expiries, double[][] strikes, double[][] vols, double[][] weights)	Calibrates ρ, η and γ to implied vol quotes, by Levenberg-Marquardt on weighted total-variance residuals in a reparametrisation that enforces the constructor's no-arbitrage bounds. θ at each expiry is the market ATM total variance: linear interpolation of quoted total variance in log-moneyness at k = 0 (nearest quote if k = 0 is not bracketed), then made non-decreasing by a running maximum.