LocalVolSurface Class Reference

#include <ql/termstructures/volatilities/localvolsurface.hpp>

Inheritance diagram for LocalVolSurface:

Inheritance graph
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List of all members.

Detailed Description

Local volatility surface derived from a Black vol surface.

For details about this implementation refer to "Stochastic Volatility and Local Volatility," in "Case Studies and Financial Modelling Course Notes," by Jim Gatheral, Fall Term, 2003

see www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf

Bug:
this class is untested, probably unreliable.


Public Member Functions

 LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< Quote > &underlying)
 LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, Real underlying)
LocalVolTermStructure interface
const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0
DayCounter dayCounter () const
 the day counter used for date/time conversion
Date maxDate () const
 the latest date for which the curve can return values
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
 local vol calculation