Local Volatility Case Study
Less than 1 minute
Local Volatility Case Study
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The Local Volatility template provides functions for holiday management, yield curve construction, forward curve construction, and the creation of local volatility surface objects using the Dupire and Heston pricing models.
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Local Volatility Template: Function Descriptions
1. Holiday Calendar Construction Functions
- McpCalendar: Constructs a holiday calendar object for one or more currency pairs.
- McpNCalendar: Constructs a holiday calendar object for multiple currencies.
2. Yield Curve Construction Functions
- McpYieldCurve: Constructs a yield curve object.
3. Forward Curve Construction Functions
- McpFXForwardPointsCurve: Constructs a forward curve object.
4. Local Volatility Surface Construction Functions
- McpLocalVol: Constructs a local volatility surface object.