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<h1>LocalVolTermStructure Class Reference</h1><!-- doxytag: class="QuantLib::LocalVolTermStructure" --><!-- doxytag: inherits="QuantLib::VolatilityTermStructure" --><code>#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for LocalVolTermStructure:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_local_vol_term_structure__inherit__graph.png" border="0" usemap="#_local_vol_term_structure__inherit__map" alt="Inheritance graph"></center>
<map name="_local_vol_term_structure__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_local_constant_vol.html" title="Constant local volatility, no time-strike dependence." alt="" coords="5,161,139,188"><area shape="rect" href="class_quant_lib_1_1_local_vol_curve.html" title="Local volatility curve derived from a Black curve." alt="" coords="163,161,275,188"><area shape="rect" href="class_quant_lib_1_1_local_vol_surface.html" title="Local volatility surface derived from a Black vol surface." alt="" coords="299,161,421,188"><area shape="rect" href="class_quant_lib_1_1_volatility_term_structure.html" title="Volatility term structure." alt="" coords="136,7,301,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_local_vol_term_structure-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
This abstract class defines the interface of concrete local-volatility term structures which will be derived from this one.<p>
Volatilities are assumed to be expressed on an annual basis. <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 colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText">See the TermStructure documentation for issues regarding constructors. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html#290fbf3e5ef75e8e00cc3c3e1fed3cc7">LocalVolTermStructure</a> (const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">default constructor <a href="#290fbf3e5ef75e8e00cc3c3e1fed3cc7"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d6bec7ca8be90c47f0b0a16b906898a6"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::LocalVolTermStructure" ref="d6bec7ca8be90c47f0b0a16b906898a6" args="(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html#d6bec7ca8be90c47f0b0a16b906898a6">LocalVolTermStructure</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8db8952b2a6a0c4ab6a4f06e952d1d97"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::LocalVolTermStructure" ref="8db8952b2a6a0c4ab6a4f06e952d1d97" args="(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html#8db8952b2a6a0c4ab6a4f06e952d1d97">LocalVolTermStructure</a> (<a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Local Volatility</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="19bfd7b7a21a66ba4a46b3df79079a32"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::localVol" ref="19bfd7b7a21a66ba4a46b3df79079a32" args="(const Date &d, Real underlyingLevel, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><b>localVol</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> underlyingLevel, bool extrapolate=false) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f51829f96ba20ca7f57a773a99db269d"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::localVol" ref="f51829f96ba20ca7f57a773a99db269d" args="(Time t, Real underlyingLevel, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><b>localVol</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> underlyingLevel, bool extrapolate=false) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Limits</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1a0b4386bde01c8cc2678dc87489fcd9"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::minStrike" ref="1a0b4386bde01c8cc2678dc87489fcd9" args="() const =0" -->
virtual <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_term_structure.html#1a0b4386bde01c8cc2678dc87489fcd9">minStrike</a> () const =0</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="ede5e93dcaf5b7de1d5ffd4a773cd803"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::maxStrike" ref="ede5e93dcaf5b7de1d5ffd4a773cd803" args="() const =0" -->
virtual <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_term_structure.html#ede5e93dcaf5b7de1d5ffd4a773cd803">maxStrike</a> () const =0</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::LocalVolTermStructure::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 colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td colspan="2"><div class="groupText">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. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0b539b6f4f12c8e2835533e11e593c95"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::localVolImpl" ref="0b539b6f4f12c8e2835533e11e593c95" args="(Time t, Real strike) const =0" -->
virtual <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_term_structure.html#0b539b6f4f12c8e2835533e11e593c95">localVolImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">local vol calculation <br></td></tr>
</table>
<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="290fbf3e5ef75e8e00cc3c3e1fed3cc7"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::LocalVolTermStructure" ref="290fbf3e5ef75e8e00cc3c3e1fed3cc7" args="(const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
<div class="memitem">
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<td class="memname"><a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html">LocalVolTermStructure</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> & </td>
<td class="paramname"> <em>cal</em> = <code><a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>()</code>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td>
<td class="paramname"> <em>bdc</em> = <code>Following</code>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"> <em>dc</em> = <code><a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>()</code></td><td> </td>
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<td>)</td>
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<p>
default constructor
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000097">Warning:</a></b></dt><dd>term structures initialized by means of this constructor must manage their own reference date by overriding the <a class="el" href="class_quant_lib_1_1_term_structure.html#a9ae6cc6009ac64d4f265065eab08be0" title="the date at which discount = 1.0 and/or variance = 0.0">referenceDate()</a> method. </dd></dl>
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