LocalVolSurface Class Reference

#include <localvolsurface.hpp>

Inheritance diagram for LocalVolSurface:

Inheritance graph
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List of all members.

Detailed Description

Local volatility surface derived from a Black vol surface.

For details about this implementation refers to "Stochastic Volatility and Local Volatility", by Jim Gatheral www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf


Public Member Functions

 LocalVolSurface (const RelinkableHandle< BlackVolTermStructure > &blackTS, const RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< TermStructure > &dividendTS, const RelinkableHandle< MarketElement > &underlying)
 LocalVolSurface (const RelinkableHandle< BlackVolTermStructure > &blackTS, const RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< TermStructure > &dividendTS, double underlying)
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
 implements the actual local vol calculation in derived classes


Member Function Documentation

void update  )  [virtual]
 

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.


The documentation for this class was generated from the following file:

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