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 (const DayCounter &dc=Actual365Fixed()) | |
default constructor | |
LocalVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=Actual365Fixed()) | |
initialize with a fixed reference date | |
LocalVolTermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=Actual365Fixed()) | |
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 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
LocalVolTermStructure | ( | const DayCounter & | dc = Actual365Fixed() |
) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.