LocalVolTermStructure Class Reference#include <ql/voltermstructure.hpp>
Inheritance diagram for LocalVolTermStructure:
[legend]List of all members.
Detailed Description
Local-volatility term structure.
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.
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Public Member Functions |
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See the TermStructure documentation for issues regarding constructors.
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| LocalVolTermStructure () |
| default constructor
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| LocalVolTermStructure (const Date &referenceDate) |
| initialize with a fixed reference date
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| LocalVolTermStructure (Integer settlementDays, const Calendar &) |
| calculate the reference date based on the global evaluation date
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Volatility | localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const |
Volatility | localVol (Time t, Real underlyingLevel, bool extrapolate=false) const |
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virtual Date | maxDate () const =0 |
| the latest date for which the term structure can return vols
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Time | maxTime () const |
| the latest time for which the term structure can return vols
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virtual Real | minStrike () const =0 |
| the minimum strike for which the term structure can return vols
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virtual Real | maxStrike () const =0 |
| the maximum strike for which the term structure can return vols
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virtual void | accept (AcyclicVisitor &) |
Protected Member Functions |
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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.
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virtual Volatility | localVolImpl (Time t, Real strike) const =0 |
| local vol calculation
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Constructor & Destructor Documentation
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default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
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