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LocalVolSurface Class Reference#include <ql/Volatilities/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," in "Case Studies in Financial Modelling Course Notes," by Jim Gatheral, Fall Term, 2003 see www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf
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