24#ifndef quantlib_localvolsurface_hpp
25#define quantlib_localvolsurface_hpp
31 class BlackVolTermStructure;
32 class YieldTermStructure;
degenerate base class for the Acyclic Visitor pattern
Shared handle to an observable.
Local volatility surface derived from a Black vol surface.
Handle< Quote > underlying_
Volatility localVolImpl(Time, Real) const override
local vol calculation
const Date & referenceDate() const override
the date at which discount = 1.0 and/or variance = 0.0
Real minStrike() const override
the minimum strike for which the term structure can return vols
void accept(AcyclicVisitor &) override
Handle< BlackVolTermStructure > blackTS_
DayCounter dayCounter() const override
the day counter used for date/time conversion
Handle< YieldTermStructure > riskFreeTS_
Date maxDate() const override
the latest date for which the curve can return values
Handle< YieldTermStructure > dividendTS_
Real maxStrike() const override
the maximum strike for which the term structure can return vols
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
Local volatility term structure base class.