QuantLib_LocalVolTermStructure man page

LocalVolTermStructure —

Synopsis

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

Inherits VolatilityTermStructure.

Inherited by FixedLocalVolSurface, GridModelLocalVolSurface, LocalConstantVol, LocalVolCurve, and LocalVolSurface.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

LocalVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
LocalVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
LocalVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date

Local Volatility

Volatility localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const

Volatility localVol (Time t, Real underlyingLevel, bool extrapolate=false) const

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

Calculations
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

virtual Volatility localVolImpl (Time t, Real strike) const =0
local vol calculation

Additional Inherited Members

Detailed Description

This abstract class defines the interface of concrete local-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Constructor & Destructor Documentation

LocalVolTermStructure (BusinessDayConvention bdc = Following, const DayCounter & dc = DayCounter())

default constructor

Warning

term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

LocalVolTermStructure(3) is an alias of QuantLib_LocalVolTermStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib