LocalVolCurve Class Reference
#include <ql/Volatilities/localvolcurve.hpp>
Inheritance diagram for LocalVolCurve:
Detailed Description
Local volatility curve derived from a Black curve.
Public Member Functions | |
| LocalVolCurve (const Handle< BlackVarianceCurve > &curve) | |
LocalVolTermStructure interface | |
| const Date & | referenceDate () const |
| the reference date, i.e., the date at which discount = 1 | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Date | maxDate () const |
| the latest date for which the term structure can return vols | |
| Real | minStrike () const |
| the minimum strike for which the term structure can return vols | |
| Real | maxStrike () const |
| the maximum strike for which the term structure can return vols | |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
| Volatility | localVolImpl (Time, Real) const |
Member Function Documentation
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The relation
holds, where
can be deduced which is here implemented. Implements LocalVolTermStructure. |
![\[ \int_0^T \sigma_L^2(t)dt = \sigma_B^2 T \]](form_320.png)
is the local volatility at time 
and 
is the Black volatility for maturity 
. From the above, the formula ![\[ \sigma_L(t) = \sqrt{\frac{\mathrm{d}}{\mathrm{d}t}\sigma_B^2(t)t} \]](form_323.png)
