QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
SimpleLocalEstimator Class Reference

Local-estimator volatility model. More...

#include <simplelocalestimator.hpp>

+ Inheritance diagram for SimpleLocalEstimator:
+ Collaboration diagram for SimpleLocalEstimator:

Public Member Functions

 SimpleLocalEstimator (Real y)
 
TimeSeries< Volatilitycalculate (const TimeSeries< Real > &quoteSeries) override
 
- Public Member Functions inherited from LocalVolatilityEstimator< Real >
virtual ~LocalVolatilityEstimator ()=default
 
virtual TimeSeries< Volatilitycalculate (const TimeSeries< Real > &quoteSeries)=0
 

Private Attributes

Real yearFraction_
 

Detailed Description

Local-estimator volatility model.

Volatilities are assumed to be expressed on an annual basis.

Definition at line 35 of file simplelocalestimator.hpp.

Constructor & Destructor Documentation

◆ SimpleLocalEstimator()

Definition at line 40 of file simplelocalestimator.hpp.

Member Function Documentation

◆ calculate()

TimeSeries< Volatility > calculate ( const TimeSeries< Real > &  quoteSeries)
overridevirtual

Implements LocalVolatilityEstimator< Real >.

Definition at line 42 of file simplelocalestimator.hpp.

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Member Data Documentation

◆ yearFraction_

Real yearFraction_
private

Definition at line 38 of file simplelocalestimator.hpp.