Interpolate a VolSurface object.

This method is used to interpolate a VolSurface object at multiple points of the plane. The interpolation depends on the type of the surface, if the vols are given by strikes, delta, moneyness.

# S3 method for VolSurface
interpolate(x, at, ...)

Arguments

x	object of class VolSurface to be interpolated.
at	indicates the coordinates at which the interpolation is performed. at should be given as a tibble::tibble() with two column names named maturity and smile. e.g. list(maturity = c(1, 2), smile = c(72, 92)).
...	unused in this model.

Value

numeric vector with length equal to the number of rows of at.

See also

Other interpolate functions: interpolate.ZeroCurve, interpolate_dfs, interpolate_zeros, interpolate

Examples

x <- build_vol_surface()
at <- tibble::tibble(
  maturity = c(as.Date("2020-03-31"), as.Date("2021-03-31")),
  smile = c(40, 80)
)
interpolate(x, at)
#> [1] 0.3915581 0.2572096