LocalConstantVol Class Reference

#include <ql/Volatilities/localconstantvol.hpp>

Inheritance diagram for LocalConstantVol:

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Detailed Description

Constant local volatility, no time-strike dependence.

This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no time/asset dependence). Local volatility and Black volatility are the same when volatility is at most time dependent, so this class is basically a proxy for BlackVolatilityTermStructure.


Public Member Functions

 LocalConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter=Actual365())
 LocalConstantVol (const Date &referenceDate, const RelinkableHandle< Quote > &volatility, const DayCounter &dayCounter=Actual365())
LocalVolTermStructure interface
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

Real minStrike () const
 the minimum strike for which the term structure can return vols

Real maxStrike () const
 the maximum strike for which the term structure can return vols

Observer interface
void update ()
Visitability
virtual void accept (AcyclicVisitor &)


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.


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