24#ifndef quantlib_localvolcurve_hpp
25#define quantlib_localvolcurve_hpp
90 Time dt = (1.0/365.0);
93 Real derivative = (var2-var1)/dt;
94 return std::sqrt(derivative);
Black volatility curve modelled as variance curve.
degenerate base class for the Acyclic Visitor pattern
Shared handle to an observable.
Local volatility curve derived from a Black curve.
Calendar calendar() const override
the calendar used for reference and/or option date calculation
Volatility localVolImpl(Time, Real) const override
const Date & referenceDate() const override
the date at which discount = 1.0 and/or variance = 0.0
Real minStrike() const override
the minimum strike for which the term structure can return vols
void accept(AcyclicVisitor &) override
DayCounter dayCounter() const override
the day counter used for date/time conversion
LocalVolCurve(const Handle< BlackVarianceCurve > &curve)
Date maxDate() const override
the latest date for which the curve can return values
Real maxStrike() const override
the maximum strike for which the term structure can return vols
Handle< BlackVarianceCurve > blackVarianceCurve_
virtual void accept(AcyclicVisitor &)
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Visitor for a specific class
virtual void visit(T &)=0
virtual BusinessDayConvention businessDayConvention() const
the business day convention used in tenor to date conversion
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
Local volatility term structure base class.
ext::shared_ptr< BlackVolTermStructure > v