LocalVolCurve Class Reference
#include <ql/termstructures/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 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 |
Member Function Documentation
Volatility localVolImpl | ( | Time | t, | |
Real | dummy | |||
) | const [protected, virtual] |
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.