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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_local_vol_curve.html">LocalVolCurve</a></li> </ul>
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<p>Local volatility curve derived from a Black curve.
<a href="class_quant_lib_1_1_local_vol_curve.html#details">More...</a></p>
<p><code>#include <ql/termstructures/volatility/equityfx/localvolcurve.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for LocalVolCurve:</div>
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<area shape="rect" title="Local volatility curve derived from a Black curve." alt="" coords="29,155,136,181"/>
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<area shape="rect" href="class_quant_lib_1_1_volatility_term_structure.html" title="Volatility term structure." alt="" coords="5,5,160,32"/>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a9bcfbba29fe0a01738bfb53056be256a"><td class="memItemLeft" align="right" valign="top"><a id="a9bcfbba29fe0a01738bfb53056be256a"></a>
 </td><td class="memItemRight" valign="bottom"><b>LocalVolCurve</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_variance_curve.html">BlackVarianceCurve</a> > &curve)</td></tr>
<tr class="separator:a9bcfbba29fe0a01738bfb53056be256a"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">TermStructure interface</div></td></tr>
<tr class="memitem:aff31fd8f746185f9532fedc2145d9abe"><td class="memItemLeft" align="right" valign="top"><a id="aff31fd8f746185f9532fedc2145d9abe"></a>
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_curve.html#aff31fd8f746185f9532fedc2145d9abe">referenceDate</a> () const</td></tr>
<tr class="memdesc:aff31fd8f746185f9532fedc2145d9abe"><td class="mdescLeft"> </td><td class="mdescRight">the date at which discount = 1.0 and/or variance = 0.0 <br /></td></tr>
<tr class="separator:aff31fd8f746185f9532fedc2145d9abe"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a38e235178eb0a7749c37a16d71f4762f"><td class="memItemLeft" align="right" valign="top"><a id="a38e235178eb0a7749c37a16d71f4762f"></a>
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_curve.html#a38e235178eb0a7749c37a16d71f4762f">calendar</a> () const</td></tr>
<tr class="memdesc:a38e235178eb0a7749c37a16d71f4762f"><td class="mdescLeft"> </td><td class="mdescRight">the calendar used for reference and/or option date calculation <br /></td></tr>
<tr class="separator:a38e235178eb0a7749c37a16d71f4762f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad49654ea33055b03f8666910acc13880"><td class="memItemLeft" align="right" valign="top"><a id="ad49654ea33055b03f8666910acc13880"></a>
<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_curve.html#ad49654ea33055b03f8666910acc13880">dayCounter</a> () const</td></tr>
<tr class="memdesc:ad49654ea33055b03f8666910acc13880"><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br /></td></tr>
<tr class="separator:ad49654ea33055b03f8666910acc13880"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6fa1d746e67f372c6e09e4ec9ad8973b"><td class="memItemLeft" align="right" valign="top"><a id="a6fa1d746e67f372c6e09e4ec9ad8973b"></a>
<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_curve.html#a6fa1d746e67f372c6e09e4ec9ad8973b">maxDate</a> () const</td></tr>
<tr class="memdesc:a6fa1d746e67f372c6e09e4ec9ad8973b"><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br /></td></tr>
<tr class="separator:a6fa1d746e67f372c6e09e4ec9ad8973b"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">VolatilityTermStructure interface</div></td></tr>
<tr class="memitem:a08611adcd4c1461233257e6ff17c582a"><td class="memItemLeft" align="right" valign="top"><a id="a08611adcd4c1461233257e6ff17c582a"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_curve.html#a08611adcd4c1461233257e6ff17c582a">minStrike</a> () const</td></tr>
<tr class="memdesc:a08611adcd4c1461233257e6ff17c582a"><td class="mdescLeft"> </td><td class="mdescRight">the minimum strike for which the term structure can return vols <br /></td></tr>
<tr class="separator:a08611adcd4c1461233257e6ff17c582a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4e78ef8a9ed6ba66165705dc96b8d5bf"><td class="memItemLeft" align="right" valign="top"><a id="a4e78ef8a9ed6ba66165705dc96b8d5bf"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_local_vol_curve.html#a4e78ef8a9ed6ba66165705dc96b8d5bf">maxStrike</a> () const</td></tr>
<tr class="memdesc:a4e78ef8a9ed6ba66165705dc96b8d5bf"><td class="mdescLeft"> </td><td class="mdescRight">the maximum strike for which the term structure can return vols <br /></td></tr>
<tr class="separator:a4e78ef8a9ed6ba66165705dc96b8d5bf"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_local_vol_term_structure')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html">LocalVolTermStructure</a></td></tr>
<tr class="memitem:a22dbcfb670e37c7b778f6a53a8a39fe6 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><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=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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 class="memdesc:a22dbcfb670e37c7b778f6a53a8a39fe6 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">default constructor <a href="class_quant_lib_1_1_local_vol_term_structure.html#a22dbcfb670e37c7b778f6a53a8a39fe6">More...</a><br /></td></tr>
<tr class="separator:a22dbcfb670e37c7b778f6a53a8a39fe6 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad6bec7ca8be90c47f0b0a16b906898a6 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="ad6bec7ca8be90c47f0b0a16b906898a6"></a>
 </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#acd49fd0f9bfecc09e0d3461f16ec5d79">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=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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 class="memdesc:ad6bec7ca8be90c47f0b0a16b906898a6 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br /></td></tr>
<tr class="separator:ad6bec7ca8be90c47f0b0a16b906898a6 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8db8952b2a6a0c4ab6a4f06e952d1d97 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a8db8952b2a6a0c4ab6a4f06e952d1d97"></a>
 </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#a32e050c75a34ceee6f0633bdb799a080">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=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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 class="memdesc:a8db8952b2a6a0c4ab6a4f06e952d1d97 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br /></td></tr>
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<tr class="memitem:a5927fb3cd9e96a62f73cd32a5cc50bd6 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a5927fb3cd9e96a62f73cd32a5cc50bd6"></a>
virtual </td><td class="memItemRight" valign="bottom"><b>~LocalVolTermStructure</b> ()</td></tr>
<tr class="separator:a5927fb3cd9e96a62f73cd32a5cc50bd6 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aacfa46133965720940bd65a84ab57009 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="aacfa46133965720940bd65a84ab57009"></a>
<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 class="separator:aacfa46133965720940bd65a84ab57009 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9359d3db879f097fc2dd16510af95797 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a9359d3db879f097fc2dd16510af95797"></a>
<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 class="separator:a9359d3db879f097fc2dd16510af95797 inherit pub_methods_class_quant_lib_1_1_local_vol_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_volatility_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_volatility_term_structure')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_volatility_term_structure.html">VolatilityTermStructure</a></td></tr>
<tr class="memitem:a6dde14edb40ab23fb1ea553c516d56f3 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a6dde14edb40ab23fb1ea553c516d56f3">VolatilityTermStructure</a> (<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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>
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<tr class="memitem:a313b93ad25131868d6ecba5dd642741d inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a313b93ad25131868d6ecba5dd642741d"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a313b93ad25131868d6ecba5dd642741d">VolatilityTermStructure</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#acd49fd0f9bfecc09e0d3461f16ec5d79">referenceDate</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, 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 class="memdesc:a313b93ad25131868d6ecba5dd642741d inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br /></td></tr>
<tr class="separator:a313b93ad25131868d6ecba5dd642741d inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a82bd61e80d4c1bf9e22b55917fe18cd6 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a82bd61e80d4c1bf9e22b55917fe18cd6"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a82bd61e80d4c1bf9e22b55917fe18cd6">VolatilityTermStructure</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#a32e050c75a34ceee6f0633bdb799a080">settlementDays</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, 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 class="memdesc:a82bd61e80d4c1bf9e22b55917fe18cd6 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br /></td></tr>
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<tr class="memitem:adb162cdfeed00aeb62b8cac19f5d0948 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="adb162cdfeed00aeb62b8cac19f5d0948"></a>
virtual <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#adb162cdfeed00aeb62b8cac19f5d0948">businessDayConvention</a> () const</td></tr>
<tr class="memdesc:adb162cdfeed00aeb62b8cac19f5d0948 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">the business day convention used in tenor to date conversion <br /></td></tr>
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<tr class="memitem:af3be26fd18355b452218cf51e28ba5fd inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="af3be26fd18355b452218cf51e28ba5fd"></a>
<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_volatility_term_structure.html#af3be26fd18355b452218cf51e28ba5fd">optionDateFromTenor</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &) const</td></tr>
<tr class="memdesc:af3be26fd18355b452218cf51e28ba5fd inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">period/date conversion <br /></td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_term_structure')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a></td></tr>
<tr class="memitem:a4a8e0f324391a12454f11f5f5d5e66e8 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a4a8e0f324391a12454f11f5f5d5e66e8">TermStructure</a> (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 class="memdesc:a4a8e0f324391a12454f11f5f5d5e66e8 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">default constructor <a href="class_quant_lib_1_1_term_structure.html#a4a8e0f324391a12454f11f5f5d5e66e8">More...</a><br /></td></tr>
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<tr class="memitem:a44918f70ab345cad67a287d46641f20f inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a44918f70ab345cad67a287d46641f20f"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a44918f70ab345cad67a287d46641f20f">TermStructure</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#acd49fd0f9bfecc09e0d3461f16ec5d79">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#a38e235178eb0a7749c37a16d71f4762f">calendar</a>=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), 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 class="memdesc:a44918f70ab345cad67a287d46641f20f inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br /></td></tr>
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<tr class="memitem:ab72309c6d49bd4b6dc5b9ed09b67c7b9 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="ab72309c6d49bd4b6dc5b9ed09b67c7b9"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#ab72309c6d49bd4b6dc5b9ed09b67c7b9">TermStructure</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#a32e050c75a34ceee6f0633bdb799a080">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, 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 class="memdesc:ab72309c6d49bd4b6dc5b9ed09b67c7b9 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br /></td></tr>
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virtual </td><td class="memItemRight" valign="bottom"><b>~TermStructure</b> ()</td></tr>
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<tr class="memitem:aa249f26327547294e5f920745cab10fd inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="aa249f26327547294e5f920745cab10fd"></a>
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#aa249f26327547294e5f920745cab10fd">timeFromReference</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date) const</td></tr>
<tr class="memdesc:aa249f26327547294e5f920745cab10fd inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">date/time conversion <br /></td></tr>
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<tr class="memitem:a4950639c8f60a60050efe2772e1d6a2a inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a4950639c8f60a60050efe2772e1d6a2a"></a>
virtual <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a4950639c8f60a60050efe2772e1d6a2a">maxTime</a> () const</td></tr>
<tr class="memdesc:a4950639c8f60a60050efe2772e1d6a2a inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">the latest time for which the curve can return values <br /></td></tr>
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<tr class="memitem:a32e050c75a34ceee6f0633bdb799a080 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a32e050c75a34ceee6f0633bdb799a080"></a>
virtual <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a32e050c75a34ceee6f0633bdb799a080">settlementDays</a> () const</td></tr>
<tr class="memdesc:a32e050c75a34ceee6f0633bdb799a080 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">the settlementDays used for reference date calculation <br /></td></tr>
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<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<tr class="memitem:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a6810b3645967da11d5f5d4804d37bacc"></a>
<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a0c19cb502f3b720b99b176ea6cc7e319"></a>
void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_extrapolator"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_extrapolator')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_extrapolator.html">Extrapolator</a></td></tr>
<tr class="memitem:ae60e793a77f44a9c022b103458fa993c inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memItemLeft" align="right" valign="top"><a id="ae60e793a77f44a9c022b103458fa993c"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extrapolator.html#ae60e793a77f44a9c022b103458fa993c">enableExtrapolation</a> (bool b=true)</td></tr>
<tr class="memdesc:ae60e793a77f44a9c022b103458fa993c inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="mdescLeft"> </td><td class="mdescRight">enable extrapolation in subsequent calls <br /></td></tr>
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<tr class="memitem:abab5047522a68771f2b1d51d1ac78383 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memItemLeft" align="right" valign="top"><a id="abab5047522a68771f2b1d51d1ac78383"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extrapolator.html#abab5047522a68771f2b1d51d1ac78383">disableExtrapolation</a> (bool b=true)</td></tr>
<tr class="memdesc:abab5047522a68771f2b1d51d1ac78383 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="mdescLeft"> </td><td class="mdescRight">disable extrapolation in subsequent calls <br /></td></tr>
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<tr class="memitem:a323f875818fddd62a1c56c25ddaee418 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memItemLeft" align="right" valign="top"><a id="a323f875818fddd62a1c56c25ddaee418"></a>
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extrapolator.html#a323f875818fddd62a1c56c25ddaee418">allowsExtrapolation</a> () const</td></tr>
<tr class="memdesc:a323f875818fddd62a1c56c25ddaee418 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="mdescLeft"> </td><td class="mdescRight">tells whether extrapolation is enabled <br /></td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
Visitability</h2></td></tr>
<tr class="memitem:a1d7eaf2f5dccce1c7781b54d64ba4a07"><td class="memItemLeft" align="right" valign="top"><a id="a1d7eaf2f5dccce1c7781b54d64ba4a07"></a>
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>
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<tr class="memitem:aa60d376e3efca2b5954df1e909d7b5e8"><td class="memItemLeft" align="right" valign="top"><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_curve.html#aa60d376e3efca2b5954df1e909d7b5e8">localVolImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>) const</td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr class="separator:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </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>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_volatility_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_volatility_term_structure')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_volatility_term_structure.html">VolatilityTermStructure</a></td></tr>
<tr class="memitem:aac9780b2660b2ea2d619592ece52b2fa inherit pro_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="aac9780b2660b2ea2d619592ece52b2fa"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#aac9780b2660b2ea2d619592ece52b2fa">checkStrike</a> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike, bool extrapolate) const</td></tr>
<tr class="memdesc:aac9780b2660b2ea2d619592ece52b2fa inherit pro_methods_class_quant_lib_1_1_volatility_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">strike-range check <br /></td></tr>
<tr class="separator:aac9780b2660b2ea2d619592ece52b2fa inherit pro_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_term_structure')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a></td></tr>
<tr class="memitem:abbff679b6600c49cafed098870f94376 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="abbff679b6600c49cafed098870f94376"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#abbff679b6600c49cafed098870f94376">checkRange</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, bool extrapolate) const</td></tr>
<tr class="memdesc:abbff679b6600c49cafed098870f94376 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">date-range check <br /></td></tr>
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<tr class="memitem:ac13f8e2d29e10f3fb6838bfb59759299 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="ac13f8e2d29e10f3fb6838bfb59759299"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#ac13f8e2d29e10f3fb6838bfb59759299">checkRange</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, bool extrapolate) const</td></tr>
<tr class="memdesc:ac13f8e2d29e10f3fb6838bfb59759299 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">time-range check <br /></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_term_structure')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a></td></tr>
<tr class="memitem:a3cfce9cb19de6f0604adee64b6d80a35 inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a3cfce9cb19de6f0604adee64b6d80a35"></a>
bool </td><td class="memItemRight" valign="bottom"><b>moving_</b></td></tr>
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<tr class="memitem:a56cd8ee45c3477740e0429f98758c935 inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a56cd8ee45c3477740e0429f98758c935"></a>
bool </td><td class="memItemRight" valign="bottom"><b>updated_</b></td></tr>
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<tr class="memitem:a021eab7f1f44c1c71b8dfd29b9c4864b inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a021eab7f1f44c1c71b8dfd29b9c4864b"></a>
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><b>calendar_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Local volatility curve derived from a Black curve. </p>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="aa60d376e3efca2b5954df1e909d7b5e8"></a>
<h2 class="memtitle"><span class="permalink"><a href="#aa60d376e3efca2b5954df1e909d7b5e8">◆ </a></span>localVolImpl()</h2>
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<td class="memname"><a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> localVolImpl </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>t</em>, </td>
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<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>dummy</em> </td>
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<td></td><td> const</td>
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<p>The relation </p><p class="formulaDsp">
\[ \int_0^T \sigma_L^2(t)dt = \sigma_B^2 T \]
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<p> holds, where \( \sigma_L(t) \) is the local volatility at time \( t \) and \( \sigma_B(T) \) is the Black volatility for maturity \( T \). From the above, the formula </p><p class="formulaDsp">
\[ \sigma_L(t) = \sqrt{\frac{\mathrm{d}}{\mathrm{d}t}\sigma_B^2(t)t} \]
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<p> can be deduced which is here implemented. </p>
<p>Implements <a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html#a0b539b6f4f12c8e2835533e11e593c95">LocalVolTermStructure</a>.</p>
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