localVol (3) - Linux Man Pages
NAME
QuantLib::LocalVolTermStructure -
SYNOPSIS
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
Inherits QuantLib::VolatilityTermStructure.
Inherited by LocalConstantVol, LocalVolCurve, and LocalVolSurface.
Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
LocalVolTermStructure (const Calendar &cal=Calendar(), 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
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 (const Calendar & cal = Calendar(), 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
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