LocalVolSurface (3) - Linux Manuals

LocalVolSurface: Local volatility surface derived from a Black vol surface.

NAME

QuantLib::LocalVolSurface - Local volatility surface derived from a Black vol surface.

SYNOPSIS

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

Inherits QuantLib::LocalVolTermStructure.

Public Member Functions

LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< Quote > &underlying)

LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, Real underlying)

TermStructure interface

const Date & referenceDate () const
the date at which discount = 1.0 and/or variance = 0.0
DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values

VolatilityTermStructure interface

Real minStrike () const
the minimum strike for which the term structure can return vols
Real maxStrike () const
the maximum strike for which the term structure can return vols

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

Volatility localVolImpl (Time, Real) const
local vol calculation

Detailed Description

Local volatility surface derived from a Black vol surface.

For details about this implementation refer to 'Stochastic Volatility and Local Volatility,' in 'Case Studies and Financial Modelling Course Notes,' by Jim Gatheral, Fall Term, 2003

see www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf

Bug

this class is untested, probably unreliable.

Author

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