LocalVolCurve Class Reference

Local volatility curve derived from a Black curve. More...

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

Inheritance diagram for LocalVolCurve:

List of all members.

Public Member Functions

 LocalVolCurve (const Handle< BlackVarianceCurve > &curve)
TermStructure interface
const DatereferenceDate () 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

\[ \int_0^T \sigma_L^2(t)dt = \sigma_B^2 T \]

holds, where $ \sigma_L(t) $ is the local volatility at time $ t $ and $ \sigma_B(T) $ is the Black volatility for maturity $ T $. From the above, the formula

\[ \sigma_L(t) = \sqrt{\frac{\mathrm{d}}{\mathrm{d}t}\sigma_B^2(t)t} \]

can be deduced which is here implemented.

Implements LocalVolTermStructure.