LocalVolSurface Class Reference
#include <ql/termstructures/volatilities/localvolsurface.hpp>
Inheritance diagram for LocalVolSurface:

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 > ÷ndTS, const Handle< Quote > &underlying) | |
LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > ÷ndTS, Real underlying) | |
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 |
local vol calculation |