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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<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/termstructures/volatility/equityfx/localvolsurface.hpp></code>
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Inheritance diagram for LocalVolSurface:</div>
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<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#_bug000013">Bug:</a></b></dt><dd>this class is untested, probably unreliable. </dd></dl>
<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, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> 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="4a72314adf5959d9427df0fad16a1d3b"></a><!-- doxytag: member="QuantLib::LocalVolSurface::referenceDate" ref="4a72314adf5959d9427df0fad16a1d3b" 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#4a72314adf5959d9427df0fad16a1d3b">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="c147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::LocalVolSurface::dayCounter" ref="c147d63df367bbe5282b76b1f98cb9be" 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#c147d63df367bbe5282b76b1f98cb9be">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="74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::LocalVolSurface::maxDate" ref="74d8fc5480ca811db8332b7b30597fe9" 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#74d8fc5480ca811db8332b7b30597fe9">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="ec700319eaa1c6fca66df8e15aea6167"></a><!-- doxytag: member="QuantLib::LocalVolSurface::minStrike" ref="ec700319eaa1c6fca66df8e15aea6167" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_surface.html#ec700319eaa1c6fca66df8e15aea6167">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="be69dc8630a5ea3f8333cfdfd01ba765"></a><!-- doxytag: member="QuantLib::LocalVolSurface::maxStrike" ref="be69dc8630a5ea3f8333cfdfd01ba765" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_surface.html#be69dc8630a5ea3f8333cfdfd01ba765">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="ae14ca62291a64bc501d292224396525"></a><!-- doxytag: member="QuantLib::LocalVolSurface::localVolImpl" ref="ae14ca62291a64bc501d292224396525" 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#ae14ca62291a64bc501d292224396525">localVolImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">local vol calculation <br></td></tr>
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