LocalVolCurve Class Reference

#include <ql/Volatilities/localvolcurve.hpp>

Inheritance diagram for LocalVolCurve:

Inheritance graph
[legend]
List of all members.

Detailed Description

Local volatility curve derived from a Black curve.


Public Member Functions

 LocalVolCurve (const RelinkableHandle< BlackVarianceCurve > &curve)
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


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.

Volatility localVolImpl Time  t,
Real  dummy
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.


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