SimpleLocalEstimator (3) - Linux Manuals

SimpleLocalEstimator: Local-estimator volatility model.

NAME

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

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