QuantLib: LocalConstantVol Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | List of all members
LocalConstantVol Class Reference

Constant local volatility, no time-strike dependence. More...

`#include <ql/termstructures/volatility/equityfx/localconstantvol.hpp>`

Inheritance diagram for LocalConstantVol:
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## Public Member Functions
| LocalConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter)
| LocalConstantVol (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter)
| LocalConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)
| LocalConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)
TermStructure interface
DayCounter | dayCounter () const
| the day counter used for date/time conversion
Date | maxDate () const
| the latest date for which the curve can return values
VolatilityTermStructure interface
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 &)
Public Member Functions inherited from LocalVolTermStructure
| LocalVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| default constructor More...
| LocalVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| initialize with a fixed reference date
| LocalVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| calculate the reference date based on the global evaluation date
Volatility | localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const
Volatility | localVol (Time t, Real underlyingLevel, bool extrapolate=false) const
Public Member Functions inherited from VolatilityTermStructure
virtual BusinessDayConvention | businessDayConvention () const
| the business day convention used in tenor to date conversion
Date | optionDateFromTenor (const Period &) const
| period/date conversion
| VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
| VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
| initialize with a fixed reference date
| VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
| calculate the reference date based on the global evaluation date
Public Member Functions inherited from TermStructure
| TermStructure (const DayCounter &dc=DayCounter())
| default constructor More...
| TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
| initialize with a fixed reference date
| TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
| calculate the reference date based on the global evaluation date
Time | timeFromReference (const Date &date) const
| date/time conversion
virtual Time | maxTime () const
| the latest time for which the curve can return values
virtual const Date & | referenceDate () const
| the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar | calendar () const
| the calendar used for reference and/or option date calculation
virtual Natural | settlementDays () const
| the settlementDays used for reference date calculation
void | update ()
Public Member Functions inherited from Observer
| Observer (const Observer &)
Observer & | operator= (const Observer &)
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()
virtual void | deepUpdate ()
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
void | notifyObservers ()
Public Member Functions inherited from Extrapolator
void | enableExtrapolation (bool b=true)
| enable extrapolation in subsequent calls
void | disableExtrapolation (bool b=true)
| disable extrapolation in subsequent calls
bool | allowsExtrapolation () const
| tells whether extrapolation is enabled

## Additional Inherited Members
Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator
Calculations
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.
Protected Member Functions inherited from VolatilityTermStructure
void | checkStrike (Rate strike, bool extrapolate) const
| strike-range check
Protected Member Functions inherited from TermStructure
void | checkRange (const Date &d, bool extrapolate) const
| date-range check
void | checkRange (Time t, bool extrapolate) const
| time-range check
Protected Attributes inherited from TermStructure
bool | moving_
bool | updated_
Calendar | calendar_

## Detailed Description

Constant local volatility, no time-strike dependence.

This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no time/asset dependence). Local volatility and Black volatility are the same when volatility is at most time dependent, so this class is basically a proxy for BlackVolatilityTermStructure.