QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Local-estimator volatility model. More...
#include <simplelocalestimator.hpp>
Public Member Functions | |
SimpleLocalEstimator (Real y) | |
TimeSeries< Volatility > | calculate (const TimeSeries< Real > "eSeries) override |
Public Member Functions inherited from LocalVolatilityEstimator< Real > | |
virtual | ~LocalVolatilityEstimator ()=default |
virtual TimeSeries< Volatility > | calculate (const TimeSeries< Real > "eSeries)=0 |
Private Attributes | |
Real | yearFraction_ |
Local-estimator volatility model.
Volatilities are assumed to be expressed on an annual basis.
Definition at line 35 of file simplelocalestimator.hpp.
SimpleLocalEstimator | ( | Real | y | ) |
Definition at line 40 of file simplelocalestimator.hpp.
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overridevirtual |
Implements LocalVolatilityEstimator< Real >.
Definition at line 42 of file simplelocalestimator.hpp.
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private |
Definition at line 38 of file simplelocalestimator.hpp.