LocalConstantVol (3) - Linux Manuals

LocalConstantVol: Constant local volatility, no time-strike dependence.

NAME

QuantLib::LocalConstantVol - Constant local volatility, no time-strike dependence.

SYNOPSIS

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

Inherits QuantLib::LocalVolTermStructure.

Public Member Functions

LocalConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter)

LocalConstantVol (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter)

LocalConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)

LocalConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)

TermStructure interface

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 &)

Detailed Description

Constant local volatility, no time-strike dependence.

This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no time/asset dependence). Local volatility and Black volatility are the same when volatility is at most time dependent, so this class is basically a proxy for BlackVolatilityTermStructure.

Author

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