- 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
holds, where
is the local volatility at time
and
is the Black volatility for maturity
. From the above, the formula
can be deduced which is here implemented.
Implements LocalVolTermStructure.