SimpleLocalEstimator Class Reference

#include <ql/models/volatility/simplelocalestimator.hpp>

List of all members.


Detailed Description

Local-estimator volatility model.

Volatilities are assumed to be expressed on an annual basis.


Public Member Functions

 SimpleLocalEstimator (Real y)
TimeSeries< Volatility > calculate (const TimeSeries< Real > &quoteSeries)