- QuantLib
- LocalConstantVol
Constant local volatility, no time-strike dependence. More...
#include <ql/termstructures/volatility/equityfx/localconstantvol.hpp>

Public Member Functions | |
| LocalConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) | |
| LocalConstantVol (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
| LocalConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) | |
| LocalConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
TermStructure interface | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
VolatilityTermStructure interface | |
| Real | minStrike () const |
| the minimum strike for which the term structure can return vols | |
| Real | maxStrike () const |
| the maximum strike for which the term structure can return vols | |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Constant local volatility, no time-strike dependence.
This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no time/asset dependence). Local volatility and Black volatility are the same when volatility is at most time dependent, so this class is basically a proxy for BlackVolatilityTermStructure.