42 bool extrapolate)
const {
51 bool extrapolate)
const {
62 QL_FAIL(
"not a local-volatility term structure visitor");
degenerate base class for the Acyclic Visitor pattern
virtual Volatility localVolImpl(Time t, Real strike) const =0
local vol calculation
virtual void accept(AcyclicVisitor &)
LocalVolTermStructure(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
Volatility localVol(const Date &d, Real underlyingLevel, bool extrapolate=false) const
Time timeFromReference(const Date &date) const
date/time conversion
void checkRange(const Date &d, bool extrapolate) const
date-range check
Visitor for a specific class
virtual void visit(T &)=0
Volatility term structure.
void checkStrike(Rate strike, bool extrapolate) const
strike-range check
#define QL_FAIL(message)
throw an error (possibly with file and line information)
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility
Local volatility term structure base class.
ext::shared_ptr< BlackVolTermStructure > v