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QuantLib::LocalVolTermStructure Class Reference

#include <voltermstructure.hpp>

Inheritance diagram for QuantLib::LocalVolTermStructure:

QuantLib::TermStructure QuantLib::Extrapolator QuantLib::Observer QuantLib::Observable QuantLib::LocalConstantVol QuantLib::LocalVolCurve QuantLib::LocalVolSurface

List of all members.

Detailed Description

Local-volatility term structure.

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.

Definition at line 219 of file voltermstructure.hpp.

Public Member Functions

void notifyObservers ()
template<class T>
void registerWith (const boost::shared_ptr< T > &h)
template<class T>
void unregisterWith (const boost::shared_ptr< T > &h)
virtual void accept (AcyclicVisitor &)
bool allowsExtrapolation () const
 tells whether extrapolation is enabled
virtual Calendar calendar () const
 the calendar used for reference date calculation
virtual DayCounter dayCounter () const =0
 the day counter used for date/time conversion
virtual const DatereferenceDate () const
 the reference date, i.e., the date at which discount = 1
void disableExtrapolation ()
 disable extrapolation in subsequent calls
void enableExtrapolation ()
 enable extrapolation in subsequent calls
Local Volatility
Volatility localVol (Time t, Real underlyingLevel, bool extrapolate=false) const
Volatility localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const
See the TermStructure documentation for issues regarding constructors.

 LocalVolTermStructure (Integer settlementDays, const Calendar &)
 calculate the reference date based on the global evaluation date
 LocalVolTermStructure (const Date &referenceDate)
 initialize with a fixed reference date
 LocalVolTermStructure ()
 default constructor
virtual Date maxDate () const =0
 the latest date for which the term structure can return vols
virtual Real maxStrike () const =0
 the maximum strike for which the term structure can return vols
Time maxTime () const
 the latest time for which the term structure can return vols
virtual Real minStrike () const =0
 the minimum strike for which the term structure can return vols
Observer interface
void update ()

Protected Member Functions

Time timeFromReference (const Date &date) const
 date/time conversion
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

Private Member Functions

void checkRange (Time, Real strike, bool extrapolate) const

The documentation for this class was generated from the following file:

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