Implemention - 2023.2 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.2 English

This engine uses the linear interpolation method (\(linearInterpolation2D\)) as defined in L1 to calculate the price based on time (the difference between the maturity date and the reference date with unit in year) and strike rate. The linear interpolation mothed implements 2-dimensional linear interpolation.