localVolImpl (3) - Linux Manuals

localVolImpl: Local volatility curve derived from a Black curve.

NAME

QuantLib::LocalVolCurve - Local volatility curve derived from a Black curve.

SYNOPSIS

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

Inherits QuantLib::LocalVolTermStructure.

Public Member Functions

LocalVolCurve (const Handle< BlackVarianceCurve > &curve)

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

Detailed Description

Local volatility curve derived from a Black curve.

Member Function Documentation

Volatility localVolImpl (Time t, Real dummy) const [protected, virtual]

The relation [ int_0^T igma_L^2(t)dt = igma_B^2 T ] holds, where $ igma_L(t) $ is the local volatility at time $ t $ and $ igma_B(T) $ is the Black volatility for maturity $ T $. From the above, the formula [ igma_L(t) = qrt{ac{mathrm{d}}{mathrm{d}t}igma_B^2(t)t} ] can be deduced which is here implemented.

Implements LocalVolTermStructure.

Author

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