QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
models
volatility
simplelocalestimator.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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#ifndef quantlib_simple_local_estimator_hpp
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#define quantlib_simple_local_estimator_hpp
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#include <ql/volatilitymodel.hpp>
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#include <map>
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namespace
QuantLib
{
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class
SimpleLocalEstimator
:
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public
LocalVolatilityEstimator
<Real> {
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private
:
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Real
yearFraction_
;
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public
:
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SimpleLocalEstimator
(
Real
y) :
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yearFraction_
(y) {}
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TimeSeries<Volatility>
calculate
(
const
TimeSeries<Real>
& quoteSeries)
override
{
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TimeSeries<Volatility>
retval;
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TimeSeries<Real>::const_iterator
prev, next, cur, start;
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start = quoteSeries.
begin
();
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++start;
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for
(cur = start; cur != quoteSeries.
end
(); ++cur) {
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prev = cur; --prev;
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retval[cur->first] =
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std::fabs(std::log(cur->second/prev->second))/
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std::sqrt(
yearFraction_
);
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}
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return
retval;
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}
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};
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}
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#endif
QuantLib::LocalVolatilityEstimator
Definition:
volatilitymodel.hpp:34
QuantLib::SimpleLocalEstimator
Local-estimator volatility model.
Definition:
simplelocalestimator.hpp:36
QuantLib::SimpleLocalEstimator::yearFraction_
Real yearFraction_
Definition:
simplelocalestimator.hpp:38
QuantLib::SimpleLocalEstimator::SimpleLocalEstimator
SimpleLocalEstimator(Real y)
Definition:
simplelocalestimator.hpp:40
QuantLib::SimpleLocalEstimator::calculate
TimeSeries< Volatility > calculate(const TimeSeries< Real > "eSeries) override
Definition:
simplelocalestimator.hpp:42
QuantLib::TimeSeries
Container for historical data.
Definition:
timeseries.hpp:51
QuantLib::TimeSeries::const_iterator
Container::const_iterator const_iterator
Definition:
timeseries.hpp:110
QuantLib::TimeSeries::begin
const_iterator begin() const
Definition:
timeseries.hpp:158
QuantLib::TimeSeries::end
const_iterator end() const
Definition:
timeseries.hpp:159
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
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