QuantLib_LocalVolTermStructure man page
Inherited by FixedLocalVolSurface, GridModelLocalVolSurface, LocalConstantVol, LocalVolCurve, and LocalVolSurface.
Public Member Functions
See the TermStructure documentation for issues regarding constructors.
LocalVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
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
Volatility localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const
Volatility localVol (Time t, Real underlyingLevel, bool extrapolate=false) const
virtual void accept (AcyclicVisitor &)
Protected Member Functions
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
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())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Generated automatically by Doxygen for QuantLib from the source code.
LocalVolTermStructure(3) is an alias of QuantLib_LocalVolTermStructure(3).