SimpleLocalEstimator Class Reference

Local-estimator volatility model. More...

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

Inherits QuantLib::LocalVolatilityEstimator< Real >.

List of all members.

Public Member Functions

 SimpleLocalEstimator (Real y)
TimeSeries< Volatilitycalculate (const TimeSeries< Real > &quoteSeries)

Detailed Description

Local-estimator volatility model.

Volatilities are assumed to be expressed on an annual basis.