QuantLib
: a free/open-source library for quantitative finance
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ql
volatilitymodel.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 volatilitymodel.hpp
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\brief Volatility term structures
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*/
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#ifndef quantlib_volatility_model_hpp
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#define quantlib_volatility_model_hpp
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#include <
ql/types.hpp
>
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#include <
ql/timeseries.hpp
>
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namespace
QuantLib
{
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template
<
class
T>
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class
LocalVolatilityEstimator
{
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public
:
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virtual
~LocalVolatilityEstimator
() =
default
;
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virtual
TimeSeries<Volatility>
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calculate
(
const
TimeSeries<T>
"eSeries) = 0;
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};
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class
VolatilityCompositor
{
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public
:
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typedef
TimeSeries<Volatility>
time_series
;
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virtual
~VolatilityCompositor
() =
default
;
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virtual
time_series
calculate
(
const
time_series
& volatilitySeries) = 0;
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virtual
void
calibrate
(
const
time_series
& volatilitySeries) = 0;
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};
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}
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#endif
QuantLib::LocalVolatilityEstimator
Definition:
volatilitymodel.hpp:34
QuantLib::LocalVolatilityEstimator::~LocalVolatilityEstimator
virtual ~LocalVolatilityEstimator()=default
QuantLib::LocalVolatilityEstimator::calculate
virtual TimeSeries< Volatility > calculate(const TimeSeries< T > "eSeries)=0
QuantLib::TimeSeries
Container for historical data.
Definition:
timeseries.hpp:51
QuantLib::VolatilityCompositor
Definition:
volatilitymodel.hpp:41
QuantLib::VolatilityCompositor::~VolatilityCompositor
virtual ~VolatilityCompositor()=default
QuantLib::VolatilityCompositor::calibrate
virtual void calibrate(const time_series &volatilitySeries)=0
QuantLib::VolatilityCompositor::time_series
TimeSeries< Volatility > time_series
Definition:
volatilitymodel.hpp:43
QuantLib::VolatilityCompositor::calculate
virtual time_series calculate(const time_series &volatilitySeries)=0
QuantLib
Definition:
any.hpp:35
timeseries.hpp
Container for historical data.
types.hpp
Custom types.
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