LocalVolTermStructure Class Reference
#include <ql/voltermstructure.hpp>
Inheritance diagram for LocalVolTermStructure:

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.
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
LocalVolTermStructure () | |
default constructor | |
LocalVolTermStructure (const Date &referenceDate) | |
initialize with a fixed reference date | |
LocalVolTermStructure (Integer settlementDays, const Calendar &) | |
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 |
Limits | |
virtual Date | maxDate () const =0 |
the latest date for which the term structure can return vols | |
Time | maxTime () const |
the latest time for which the term structure can return vols | |
virtual Real | minStrike () const =0 |
the minimum strike for which the term structure can return vols | |
virtual Real | maxStrike () const =0 |
the maximum strike for which the term structure can return vols | |
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 |
Constructor & Destructor Documentation
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default constructor
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