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LocalVolCurve Class Template Reference#include <localvolcurve.hpp>
Inheritance diagram for LocalVolCurve: ![]() Detailed Descriptiontemplate<class Interpolator1D>
Local volatility curve derived from a Black curve.
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Public Member Functions | |
LocalVolCurve (const Handle< BlackVarianceCurve< Interpolator1D > > &blackVarianceCurve) | |
Date | referenceDate () const |
returns the reference date for which t=0 | |
DayCounter | dayCounter () const |
returns the day counter | |
Date | maxDate () const |
the latest date for which the term structure can return vols | |
void | update () |
Protected Member Functions | |
double | localVolImpl (Time, double, bool extrapolate) const |
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This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes. Implements Observer. |
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The relation
holds, where
can be deduced which is here implemented. Implements LocalVolTermStructure. |
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