LocalVolCurve Class Template Reference

#include <localvolcurve.hpp>

Inheritance diagram for LocalVolCurve:

Inheritance graph
[legend]
List of all members.

Detailed Description

template<class Interpolator1D>
class QuantLib::VolTermStructures::LocalVolCurve< Interpolator1D >

Local volatility curve derived from a Black curve.


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


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.

double localVolImpl Time  t,
double  dummyValue,
bool  extrapolate
const [protected, virtual]
 

The relation

\[ \int_0^T \sigma_L^2(t)dt = \sigma_B^2 T \]

holds, where $ \sigma_L(t) $ is the local volatility at time $ t $ and $ \sigma_B(T) $ is the Black volatility for maturity $ T $. From the above, the formula

\[ \sigma_L(t) = \sqrt{\frac{\mathrm{d}}{\mathrm{d}t}\sigma_B^2(t)t} \]

can be deduced which is here implemented.

Implements LocalVolTermStructure.


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

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