LocalVolCurve Class Reference
#include <ql/Volatilities/localvolcurve.hpp>
Inheritance diagram for LocalVolCurve:

Detailed Description
Local volatility curve derived from a Black curve.
Public Member Functions | |
LocalVolCurve (const Handle< BlackVarianceCurve > &curve) | |
LocalVolTermStructure interface | |
const Date & | referenceDate () const |
the reference date, i.e., the date at which discount = 1 | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Date | maxDate () const |
the latest date for which the term structure can return vols | |
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 |
Member Function Documentation
|
The relation
holds, where
can be deduced which is here implemented. Implements LocalVolTermStructure. |