![]() QuantLib 0.3.3User manualIntroduction to QuantLibQuantLib componentsReference manual |
LocalVolSurface Class Reference#include <localvolsurface.hpp>
Inheritance diagram for LocalVolSurface: ![]() Detailed DescriptionLocal 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
Member Function Documentation
The documentation for this class was generated from the following file:
|
QuantLib.org![]() |
Hosted by![]() |
Documentation generated by![]() |