QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Types | Public Member Functions | List of all members
VolatilityCompositor Class Referenceabstract

#include <volatilitymodel.hpp>

+ Inheritance diagram for VolatilityCompositor:
+ Collaboration diagram for VolatilityCompositor:

Public Types

typedef TimeSeries< Volatilitytime_series
 

Public Member Functions

virtual ~VolatilityCompositor ()=default
 
virtual time_series calculate (const time_series &volatilitySeries)=0
 
virtual void calibrate (const time_series &volatilitySeries)=0
 

Detailed Description

Definition at line 41 of file volatilitymodel.hpp.

Member Typedef Documentation

◆ time_series

Definition at line 43 of file volatilitymodel.hpp.

Constructor & Destructor Documentation

◆ ~VolatilityCompositor()

virtual ~VolatilityCompositor ( )
virtualdefault

Member Function Documentation

◆ calculate()

virtual time_series calculate ( const time_series volatilitySeries)
pure virtual

Implemented in Garch11.

◆ calibrate()

virtual void calibrate ( const time_series volatilitySeries)
pure virtual

Implemented in Garch11.