- QuantLib
- LocalVolSurface
Local volatility surface derived from a Black vol surface. More...
#include <ql/termstructures/volatility/equityfx/localvolsurface.hpp>
Public Member Functions | |
LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > ÷ndTS, const Handle< Quote > &underlying) | |
LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > ÷ndTS, Real underlying) | |
TermStructure interface | |
const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Date | maxDate () const |
the latest date for which the curve can return values | |
VolatilityTermStructure interface | |
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 | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
Volatility | localVolImpl (Time, Real) const |
local vol calculation |
Local volatility surface derived from a Black vol surface.
For details about this implementation refer to "Stochastic Volatility and Local Volatility," in "Case Studies and Financial Modelling Course Notes," by Jim Gatheral, Fall Term, 2003
see www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf