LocalConstantVol Class Reference#include <ql/Volatilities/localconstantvol.hpp>
Inheritance diagram for LocalConstantVol:
[legend]List of all members.
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.
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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 (Integer settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) |
| LocalConstantVol (Integer settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) |
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DayCounter | dayCounter () const |
| the day counter used for date/time conversion
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Date | maxDate () const |
| the latest date for which the term structure can return vols
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Real | minStrike () const |
| the minimum strike for which the term structure can return vols
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Real | maxStrike () const |
| the maximum strike for which the term structure can return vols
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virtual void | accept (AcyclicVisitor &) |
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