LocalVolTermStructure Class Reference

#include <ql/voltermstructure.hpp>

Inheritance diagram for LocalVolTermStructure:

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List of all members.

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

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.