QuantLib_LocalConstantVol man page

LocalConstantVol — Constant local volatility, no time-strike dependence.

Synopsis

#include <ql/termstructures/volatility/equityfx/localconstantvol.hpp>

Inherits LocalVolTermStructure.

Public Member Functions

LocalConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter)

LocalConstantVol (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter)

LocalConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)

LocalConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)

TermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values

VolatilityTermStructure interface

Real minStrike () const
the minimum strike for which the term structure can return vols
Real maxStrike () const
the maximum strike for which the term structure can return vols

Visitability

virtual void accept (AcyclicVisitor &)

Additional Inherited Members

Detailed Description

Constant local volatility, no time-strike dependence.

This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no time/asset dependence). Local volatility and Black volatility are the same when volatility is at most time dependent, so this class is basically a proxy for BlackVolatilityTermStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

LocalConstantVol(3) is an alias of QuantLib_LocalConstantVol(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib