| Package | Description |
|---|---|
| com.opengamma.strata.pricer.impl.volatility.local |
| Modifier and Type | Class and Description |
|---|---|
class |
DupireLocalVolatilityCalculator
Local volatility computation based on the exact formula.
|
class |
ImpliedTrinomialTreeLocalVolatilityCalculator
Local volatility calculation based on trinomila tree model.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.