Uses of Class
com.quantfinlib.pricing.VannaVolga

Packages that use VannaVolga

Package

Description

com.quantfinlib.pricing

Fair value and derivatives pricing: BlackScholes (Greeks with continuous carry — equities and Garman-Kohlhagen FX — plus implied vol), BinomialTree (CRR American/European), VolSurface (pillar smiles, total-variance term interpolation), SabrModel (Hagan 2002 + calibration), FairValueEngine (microprice and latency-adjusted true mid), TriangularArbitrage (executable FX round-trip edge), ForwardCurve (FX forwards with covered-interest-parity checks), the exotics (DigitalOption, TouchOption, BarrierOption, VannaVolga) and Autocallable (the flagship equity structured product: memory coupons, autocall observations, European knock-in — Monte Carlo with antithetic variates under documented GBM simplifications; RFQ market structure for trading it lives in rfq).

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).