LocalVolTermStructure Class Reference

#include <ql/voltermstructure.hpp>

Inheritance diagram for LocalVolTermStructure:

Inheritance graph
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List of all members.

Detailed Description

Local-volatility term structure.

This abstract class defines the interface of concrete local-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.


Public Member Functions

Local Volatility
Volatility localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const
Volatility localVol (Time t, Real underlyingLevel, bool extrapolate=false) const
Dates
virtual Date referenceDate () const =0
 returns the reference date for which t=0

virtual DayCounter dayCounter () const =0
 returns the day counter

Limits
virtual Date maxDate () const =0
 the latest date for which the term structure can return vols

Time maxTime () const
 the latest time for which the term structure can return vols

virtual Real minStrike () const =0
 the minimum strike for which the term structure can return vols

virtual Real maxStrike () const =0
 the maximum strike for which the term structure can return vols

Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

Calculations
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

virtual Volatility localVolImpl (Time t, Real strike) const =0
 local vol calculation


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