QuantLib_LocalVolCurve man page

LocalVolCurve — Local volatility curve derived from a Black curve.

Synopsis

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

Inherits LocalVolTermStructure.

Public Member Functions

LocalVolCurve (const Handle< BlackVarianceCurve > &curve)

TermStructure interface

const Date & referenceDate () const
the date at which discount = 1.0 and/or variance = 0.0
Calendar calendar () const
the calendar used for reference and/or option date calculation
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 &)

Protected Member Functions

Volatility localVolImpl (Time, Real) const

Additional Inherited Members

Detailed Description

Local volatility curve derived from a Black curve.

Member Function Documentation

Volatility localVolImpl (Time t, Real dummy) const [protected], [virtual]

The relation [ int_0^T sigma_L^2(t)dt = sigma_B^2 T ] holds, where $ sigma_L(t) $ is the local volatility at time $ t $ and $ sigma_B(T) $ is the Black volatility for maturity $ T $. From the above, the formula [ sigma_L(t) = sqrt{ac{mathrm{d}}{mathrm{d}t}sigma_B^2(t)t} ] can be deduced which is here implemented.

Implements LocalVolTermStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

LocalVolCurve(3) and localVolImpl(3) are aliases of QuantLib_LocalVolCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib