- QuantLib
- LocalVolCurve
 
Local volatility curve derived from a Black curve. More...
#include <ql/termstructures/volatility/equityfx/localvolcurve.hpp>

| Public Member Functions | |
| LocalVolCurve (const Handle< BlackVarianceCurve > &curve) | |
| TermStructure interface | |
| const Date & | referenceDate () const | 
| the date at which discount = 1.0 and/or variance = 0.0 | |
| Calendar | calendar () const | 
| the calendar used for reference and/or option date calculation | |
| 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 volatility curve derived from a Black curve.
| Volatility localVolImpl | ( | Time | t, | 
| Real | dummy | ||
| ) | const  [protected, virtual] | 
The relation
![\[ \int_0^T \sigma_L^2(t)dt = \sigma_B^2 T \]](form_385.png) 
 holds, where  is the local volatility at time
 is the local volatility at time  and
 and  is the Black volatility for maturity
 is the Black volatility for maturity  . From the above, the formula
. From the above, the formula 
![\[ \sigma_L(t) = \sqrt{\frac{\mathrm{d}}{\mathrm{d}t}\sigma_B^2(t)t} \]](form_388.png) 
can be deduced which is here implemented.
Implements LocalVolTermStructure.