SimpleLocalEstimator (3) Linux Manual Page

QuantLib::SimpleLocalEstimator – Local-estimator volatility model.

Synopsis

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

Inherits QuantLib::LocalVolatilityEstimator<Real>.

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.