Description Usage Arguments Value Examples

View source: R/term_structures.R

Given a volatility term structure, create a corresponding variance cumulation function. The function assumes piecewise constant forward volatility, with the final such forward volatility extending to infinity.

1 | ```
variance_cumulation_from_vols(vols_df)
``` |

`vols_df` |
A data.frame with numeric columns |

A function taking two time arguments, which returns the cumulated variance from the second to the first

1 2 3 4 | ```
vc = variance_cumulation_from_vols(
data.frame(time=c(0.1,2,3),
volatility=c(0.2,0.5,1.2)))
vc(1.5, 0)
``` |

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