localVol (3) - Linux Man Pages
Inherited by LocalConstantVol, LocalVolCurve, and LocalVolSurface.
Public Member Functions
See the TermStructure documentation for issues regarding constructors.
LocalVolTermStructure (const Calendar &cal=Calendar(), 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
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.
This abstract class defines the interface of concrete local-volatility term structures which will be derived from this one.
Constructor & Destructor Documentation
LocalVolTermStructure (const Calendar & cal = Calendar(), 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.
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