1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: LocalVolSurface Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<div class="nav">
<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_local_vol_surface.html">LocalVolSurface</a></div>
<h1>LocalVolSurface Class Reference</h1><!-- doxytag: class="QuantLib::LocalVolSurface" --><!-- doxytag: inherits="QuantLib::LocalVolTermStructure" --><code>#include <ql/Volatilities/localvolsurface.hpp></code>
<p>
Inheritance diagram for LocalVolSurface:<p><center><img src="class_quant_lib_1_1_local_vol_surface__inherit__graph.png" border="0" usemap="#_local_vol_surface__inherit__map" alt="Inheritance graph"></center>
<map name="_local_vol_surface__inherit__map">
<area href="class_quant_lib_1_1_local_vol_term_structure.html" shape="rect" coords="76,156,247,180" alt="">
<area href="class_quant_lib_1_1_term_structure.html" shape="rect" coords="103,81,220,105" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="5,7,88,31" alt="">
<area href="class_quant_lib_1_1_observable.html" shape="rect" coords="112,7,211,31" alt="">
<area href="class_quant_lib_1_1_extrapolator.html" shape="rect" coords="235,7,339,31" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_local_vol_surface-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Local volatility surface derived from a Black vol surface.
<p>
For details about this implementation refer to "Stochastic Volatility and Local Volatility," in "Case Studies and Financial Modelling Course Notes," by Jim Gatheral, Fall Term, 2003<p>
see www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf<p>
<dl compact><dt><b><a class="el" href="bug.html#_bug000012">Bug:</a></b></dt><dd>this class is untested, probably unreliable. </dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a4e518df5098f413a08bafa0343911e1"></a><!-- doxytag: member="QuantLib::LocalVolSurface::LocalVolSurface" ref="a4e518df5098f413a08bafa0343911e1" args="(const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< Quote > &underlying)" -->
</td><td class="memItemRight" valign="bottom"><b>LocalVolSurface</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > &blackTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &riskFreeTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &dividendTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &underlying)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f5d251ea796a2a4b537152220293306f"></a><!-- doxytag: member="QuantLib::LocalVolSurface::LocalVolSurface" ref="f5d251ea796a2a4b537152220293306f" args="(const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, Real underlying)" -->
</td><td class="memItemRight" valign="bottom"><b>LocalVolSurface</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > &blackTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &riskFreeTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &dividendTS, Real underlying)</td></tr>
<tr><td colspan="2"><div class="groupHeader">LocalVolTermStructure interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff31fd8f746185f9532fedc2145d9abe"></a><!-- doxytag: member="QuantLib::LocalVolSurface::referenceDate" ref="ff31fd8f746185f9532fedc2145d9abe" args="() const" -->
const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_surface.html#ff31fd8f746185f9532fedc2145d9abe">referenceDate</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the date at which discount = 1.0 and/or variance = 0.0 <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d49654ea33055b03f8666910acc13880"></a><!-- doxytag: member="QuantLib::LocalVolSurface::dayCounter" ref="d49654ea33055b03f8666910acc13880" args="() const" -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_surface.html#d49654ea33055b03f8666910acc13880">dayCounter</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6fa1d746e67f372c6e09e4ec9ad8973b"></a><!-- doxytag: member="QuantLib::LocalVolSurface::maxDate" ref="6fa1d746e67f372c6e09e4ec9ad8973b" args="() const" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_surface.html#6fa1d746e67f372c6e09e4ec9ad8973b">maxDate</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="08611adcd4c1461233257e6ff17c582a"></a><!-- doxytag: member="QuantLib::LocalVolSurface::minStrike" ref="08611adcd4c1461233257e6ff17c582a" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_surface.html#08611adcd4c1461233257e6ff17c582a">minStrike</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the minimum strike for which the term structure can return vols <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4e78ef8a9ed6ba66165705dc96b8d5bf"></a><!-- doxytag: member="QuantLib::LocalVolSurface::maxStrike" ref="4e78ef8a9ed6ba66165705dc96b8d5bf" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_surface.html#4e78ef8a9ed6ba66165705dc96b8d5bf">maxStrike</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the maximum strike for which the term structure can return vols <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Visitability</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="896099363a2a409d2485c3ce9e4e4265"></a><!-- doxytag: member="QuantLib::LocalVolSurface::accept" ref="896099363a2a409d2485c3ce9e4e4265" args="(AcyclicVisitor &)" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>accept</b> (<a class="el" href="class_quant_lib_1_1_acyclic_visitor.html">AcyclicVisitor</a> &)</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a60d376e3efca2b5954df1e909d7b5e8"></a><!-- doxytag: member="QuantLib::LocalVolSurface::localVolImpl" ref="a60d376e3efca2b5954df1e909d7b5e8" args="(Time, Real) const" -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_surface.html#a60d376e3efca2b5954df1e909d7b5e8">localVolImpl</a> (Time, Real) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">local vol calculation <br></td></tr>
</table>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
