QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | Protected Member Functions | List of all members
LocalVolCurve Class Reference

Local volatility curve derived from a Black curve. More...

#include <ql/termstructures/volatility/equityfx/localvolcurve.hpp>

+ Inheritance diagram for LocalVolCurve:

Public Member Functions

 LocalVolCurve (const Handle< BlackVarianceCurve > &curve)
 
TermStructure interface
const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0
 
Calendar calendar () const
 the calendar used for reference and/or option date calculation
 
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 Natural settlementDays () const
 the settlementDays used for reference date calculation
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (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
 

Protected Member Functions

Volatility localVolImpl (Time, Real) const
 
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
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

Detailed Description

Local volatility curve derived from a Black curve.

Member Function Documentation

Volatility localVolImpl ( Time  t,
Real  dummy 
) const
protectedvirtual

The relation

\[ \int_0^T \sigma_L^2(t)dt = \sigma_B^2 T \]

holds, where \( \sigma_L(t) \) is the local volatility at time \( t \) and \( \sigma_B(T) \) is the Black volatility for maturity \( T \). From the above, the formula

\[ \sigma_L(t) = \sqrt{\frac{\mathrm{d}}{\mathrm{d}t}\sigma_B^2(t)t} \]

can be deduced which is here implemented.

Implements LocalVolTermStructure.