LocalVolSurface Class Reference

#include <ql/Volatilities/localvolsurface.hpp>

Inheritance diagram for LocalVolSurface:

Inheritance graph
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List of all members.

Detailed Description

Local 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

Bug:
this class is untested, probably unreliable.


Public Member Functions

 LocalVolSurface (const RelinkableHandle< BlackVolTermStructure > &blackTS, const RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< TermStructure > &dividendTS, const RelinkableHandle< Quote > &underlying)
 LocalVolSurface (const RelinkableHandle< BlackVolTermStructure > &blackTS, const RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< TermStructure > &dividendTS, Real underlying)
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 &)

Protected Member Functions

Volatility localVolImpl (Time, Real) const
 local vol calculation


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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