QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
models
volatility
constantestimator.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2006 Joseph Wang
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file constantestimator.hpp
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\brief Constant volatility estimator
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*/
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#ifndef quantlib_constant_estimator_hpp
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#define quantlib_constant_estimator_hpp
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#include <
ql/volatilitymodel.hpp
>
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#include <vector>
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namespace
QuantLib
{
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//! Constant-estimator volatility model
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/*! Volatilities are assumed to be expressed on an annual basis.
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*/
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class
ConstantEstimator
:
public
VolatilityCompositor
{
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private
:
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Size
size_
;
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public
:
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ConstantEstimator
(
Size
size)
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:
size_
(size) {}
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TimeSeries<Volatility>
calculate
(
const
TimeSeries<Volatility>
&)
override
;
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void
calibrate
(
const
TimeSeries<Volatility>
&)
override
{}
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};
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}
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#endif
QuantLib::ConstantEstimator
Constant-estimator volatility model.
Definition:
constantestimator.hpp:35
QuantLib::ConstantEstimator::calibrate
void calibrate(const TimeSeries< Volatility > &) override
Definition:
constantestimator.hpp:42
QuantLib::ConstantEstimator::calculate
TimeSeries< Volatility > calculate(const TimeSeries< Volatility > &) override
Definition:
constantestimator.cpp:24
QuantLib::ConstantEstimator::ConstantEstimator
ConstantEstimator(Size size)
Definition:
constantestimator.hpp:39
QuantLib::ConstantEstimator::size_
Size size_
Definition:
constantestimator.hpp:37
QuantLib::TimeSeries
Container for historical data.
Definition:
timeseries.hpp:51
QuantLib::VolatilityCompositor
Definition:
volatilitymodel.hpp:41
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
volatilitymodel.hpp
Volatility term structures.
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