LocalConstantVol Class Reference

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

Inheritance diagram for LocalConstantVol:

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Detailed Description

Constant local volatility, no time-strike dependence.

This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no time/asset dependence). Local volatility and Black volatility are the same when volatility is at most time dependent, so this class is basically a proxy for BlackVolatilityTermStructure.


Public Member Functions

 LocalConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter)
 LocalConstantVol (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter)
 LocalConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)
 LocalConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)
LocalVolTermStructure interface
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 &)