QuantLib: ql/termstructures/volatility/equityfx Directory Reference

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

equityfx Directory Reference

## Files
file | andreasenhugelocalvoladapter.hpp
| Implements the LocalVolTermStructure interface based on a Andreasen-Huge volatility interpolation.
file | andreasenhugevolatilityadapter.hpp
| Implements the BlackVolTermStructure interface based on a Andreasen-Huge volatility interpolation.
file | andreasenhugevolatilityinterpl.hpp
| Andreasen-Huge local volatility calibration and interpolation.
file | blackconstantvol.hpp
| Black constant volatility, no time dependence, no strike dependence.
file | blackvariancecurve.hpp
| Black volatility curve modelled as variance curve.
file | blackvariancesurface.hpp
| Black volatility surface modelled as variance surface.
file | blackvoltermstructure.hpp
| Black volatility term structure base classes.
file | fixedlocalvolsurface.hpp
| Local volatility surface based on fixed values plus interpolation.
file | gridmodellocalvolsurface.hpp
| Parameterized volatility surface useful for model calibration.
file | hestonblackvolsurface.hpp
| Black volatility surface back by Heston model.
file | impliedvoltermstructure.hpp
| Implied Black Vol Term Structure.
file | localconstantvol.hpp
| Local constant volatility, no time dependence, no asset dependence.
file | localvolcurve.hpp
| Local volatility curve derived from a Black curve.
file | localvolsurface.hpp
| Local volatility surface derived from a Black vol surface.
file | localvoltermstructure.hpp
| Local volatility term structure base class.
file | noexceptlocalvolsurface.hpp
| wrapper around Dupire local volatility surface, which does not throw exception if local volatility becomes negative