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<div class="title">LocalVolTermStructure Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::LocalVolTermStructure" --><!-- doxytag: inherits="QuantLib::VolatilityTermStructure" -->
<p><code>#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp></code></p>
<div class="dynheader">
Inheritance diagram for LocalVolTermStructure:</div>
<div class="dyncontent">
<div class="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"/></div>
<map name="_local_vol_term_structure_inherit__map" id="_local_vol_term_structure_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_local_constant_vol.html" title="Constant local volatility, no time-strike dependence." alt="" coords="5,166,128,197"/><area shape="rect" id="node7" href="class_quant_lib_1_1_local_vol_curve.html" title="Local volatility curve derived from a Black curve." alt="" coords="152,166,256,197"/><area shape="rect" id="node9" href="class_quant_lib_1_1_local_vol_surface.html" title="Local volatility surface derived from a Black vol surface." alt="" coords="280,166,395,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_volatility_term_structure.html" title="Volatility term structure." alt="" coords="128,6,280,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_local_vol_term_structure-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>See the <a class="el" href="class_quant_lib_1_1_term_structure.html" title="Basic term-structure functionality.">TermStructure</a> documentation for issues regarding constructors. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html#aab7e89f622d77dc9b21b73a98e163be1">LocalVolTermStructure</a> (const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">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="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html#a22dbcfb670e37c7b778f6a53a8a39fe6">LocalVolTermStructure</a> (<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">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="#a22dbcfb670e37c7b778f6a53a8a39fe6"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad6bec7ca8be90c47f0b0a16b906898a6"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::LocalVolTermStructure" ref="ad6bec7ca8be90c47f0b0a16b906898a6" 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#ad6bec7ca8be90c47f0b0a16b906898a6">LocalVolTermStructure</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</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#gaff46c5ae9385d20709bedade86edd368">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" align="right" valign="top"><a class="anchor" id="a8db8952b2a6a0c4ab6a4f06e952d1d97"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::LocalVolTermStructure" ref="a8db8952b2a6a0c4ab6a4f06e952d1d97" 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#a8db8952b2a6a0c4ab6a4f06e952d1d97">LocalVolTermStructure</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#ab6506da60fec85c6f146f1b43116de70">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">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" align="right" valign="top"><a class="anchor" id="a19bfd7b7a21a66ba4a46b3df79079a32"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::localVol" ref="a19bfd7b7a21a66ba4a46b3df79079a32" args="(const Date &d, Real underlyingLevel, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">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#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> underlyingLevel, bool extrapolate=false) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af51829f96ba20ca7f57a773a99db269d"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::localVol" ref="af51829f96ba20ca7f57a773a99db269d" args="(Time t, Real underlyingLevel, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><b>localVol</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> underlyingLevel, bool extrapolate=false) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Visitability</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a896099363a2a409d2485c3ce9e4e4265"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::accept" ref="a896099363a2a409d2485c3ce9e4e4265" 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"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>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. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0b539b6f4f12c8e2835533e11e593c95"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::localVolImpl" ref="a0b539b6f4f12c8e2835533e11e593c95" args="(Time t, Real strike) const =0" -->
virtual <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html#a0b539b6f4f12c8e2835533e11e593c95">localVolImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">local vol calculation <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>This abstract class defines the interface of concrete local-volatility term structures which will be derived from this one.</p>
<p>Volatilities are assumed to be expressed on an annual basis. </p>
</div><hr/><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" id="aab7e89f622d77dc9b21b73a98e163be1"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::LocalVolTermStructure" ref="aab7e89f622d77dc9b21b73a98e163be1" args="(const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
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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>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">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>
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<td>)</td>
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<div class="memdoc">
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000124">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#aa9ae6cc6009ac64d4f265065eab08be0" title="the date at which discount = 1.0 and/or variance = 0.0">referenceDate()</a> method. </dd></dl>
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<a class="anchor" id="a22dbcfb670e37c7b778f6a53a8a39fe6"></a><!-- doxytag: member="QuantLib::LocalVolTermStructure::LocalVolTermStructure" ref="a22dbcfb670e37c7b778f6a53a8a39fe6" args="(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
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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"><a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">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>
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<td>)</td>
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<div class="memdoc">
<p>default constructor </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000125">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#aa9ae6cc6009ac64d4f265065eab08be0" title="the date at which discount = 1.0 and/or variance = 0.0">referenceDate()</a> method. </dd></dl>
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