LocalVolCurve Class Template Reference

#include <localvolcurve.hpp>

Inheritance diagram for LocalVolCurve:

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.