localVol (3) - Linux Manuals

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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