LocalVolTermStructure Class Reference

#include <voltermstructure.hpp>

Inheritance diagram for LocalVolTermStructure:

Inheritance graph
[legend]
List of all members.

Detailed Description

Local Volatility Term structure.

This abstract class defines the interface of concrete local volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.


Public Member Functions

Local Volatility
double localVol (const Date &d, double underlyingLevel, bool extrapolate=false) const
 Local volatility.

double localVol (Time t, double underlyingLevel, bool extrapolate=false) const
 Local volatility.

Dates
virtual Date referenceDate () const=0
 returns the reference date for which t=0

virtual DayCounter dayCounter () const=0
 returns the day counter

virtual Date maxDate () const=0
 the latest date for which the term structure can return vols

Time maxTime () const
 the latest time for which the term structure can return vols


Protected Member Functions

virtual double localVolImpl (Time t, double strike, bool extrapolate=false) const=0
 implements the actual local vol calculation in derived classes


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

QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen