- QuantLib
- LocalVolTermStructure
 
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>

| Public Member Functions | |
| Constructors | |
| See the TermStructure documentation for issues regarding constructors. | |
| LocalVolTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| LocalVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor | |
| LocalVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| LocalVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| Local Volatility | |
| Volatility | localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const | 
| Volatility | localVol (Time t, Real underlyingLevel, bool extrapolate=false) const | 
| 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 | |
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.
| LocalVolTermStructure | ( | const Calendar & | cal, | 
| BusinessDayConvention | bdc = Following, | ||
| const DayCounter & | dc = DayCounter() | ||
| ) | 
| LocalVolTermStructure | ( | BusinessDayConvention | bdc = Following, | 
| const DayCounter & | dc = DayCounter() | ||
| ) | 
default constructor