QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
SimpleLocalEstimator Class Reference

Local-estimator volatility model. More...

#include <ql/models/volatility/simplelocalestimator.hpp>

Inherits LocalVolatilityEstimator< T >.

Public Member Functions

 SimpleLocalEstimator (Real y)
 
TimeSeries< Volatilitycalculate (const TimeSeries< Real > &quoteSeries)
 

Detailed Description

Local-estimator volatility model.

Volatilities are assumed to be expressed on an annual basis.