Uses of Class
com.quantfinlib.pricing.VannaVolga

Packages that use VannaVolga

Package	Description
com.quantfinlib.fx	FX market conventions and instruments, from spot dates to NDFs.
com.quantfinlib.pricing	Option and derivatives pricing models, implied volatility and volatility surfaces.

Uses of VannaVolga in com.quantfinlib.fx

Methods in com.quantfinlib.fx with parameters of type VannaVolga

Modifier and Type	Method	Description
static double	VannaVolgaTouch.oneTouch(VannaVolga pillars, double spot, double barrier, double payout)	Vanna-volga one-touch price with survival-probability weighting.
static double	VannaVolgaTouch.smileCost(VannaVolga pillars, double spot, double barrier, double payout)	The unweighted vanna-volga smile cost Σ xᵢ · pillar cost for the one-touch (the adjustment before the survival weight).

Uses of VannaVolga in com.quantfinlib.pricing

Methods in com.quantfinlib.pricing that return VannaVolga

Modifier and Type	Method	Description
static VannaVolga	VannaVolga.ofPillars(double[] strikes, double[] vols, double rate, double carry, double timeYears)	Builds directly from a solved fx.FxVolSurface pillar (25Δ set).