LocalVolCurve Class Reference#include <ql/Volatilities/localvolcurve.hpp>
Inheritance diagram for LocalVolCurve:
[legend]List of all members.
Detailed Description
Local volatility curve derived from a Black curve.
Member Function Documentation
void update |
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This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer. |
double localVolImpl |
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Time |
t, |
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double |
dummy, |
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bool |
extrapolate |
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const [protected, virtual] |
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The relation
holds, where is the local volatility at time and is the Black volatility for maturity . From the above, the formula
can be deduced which is here implemented.
Implements LocalVolTermStructure. |
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