SimpleLocalEstimator Class Reference
Local-estimator volatility model. More...
#include <ql/models/volatility/simplelocalestimator.hpp>
Inherits QuantLib::LocalVolatilityEstimator< Real >.
Public Member Functions | |
SimpleLocalEstimator (Real y) | |
TimeSeries< Volatility > | calculate (const TimeSeries< Real > "eSeries) |
Detailed Description
Local-estimator volatility model.
Volatilities are assumed to be expressed on an annual basis.