QuantLib_SimpleLocalEstimator man page

SimpleLocalEstimator — Local-estimator volatility model.


#include <ql/models/volatility/simplelocalestimator.hpp>

Inherits LocalVolatilityEstimator< T >.

Public Member Functions

SimpleLocalEstimator (Real y)

TimeSeries< Volatility > calculate (const TimeSeries< Real > &quoteSeries)

Detailed Description

Local-estimator volatility model.

Volatilities are assumed to be expressed on an annual basis.


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Referenced By

SimpleLocalEstimator(3) is an alias of QuantLib_SimpleLocalEstimator(3).

QuantLib Version 1.8.1 Fri Sep 23 2016