Function restate
fn restate(
vol: f64,
from: VolConvention,
spec: &SabrSpec,
forward: f64,
strike: f64,
t: f64,
) -> Option<(f64, f64)>Expand description
A quote in convention from restated in the spec’s, by repricing a call
at the slice forward — the lognormal side read at the spec’s shift — and
the restatement’s slope in the quote: the ratio of the two vegas, since the
price is held.