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QuantLib_ConstantEstimator
Langue: en
Version: 383798 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::ConstantEstimator -Constant-estimator volatility model.
SYNOPSIS
#include <ql/models/volatility/constantestimator.hpp>
Inherits QuantLib::VolatilityCompositor.
Public Member Functions
ConstantEstimator (Size size)
TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &)
void calibrate (const TimeSeries< Volatility > &)
Detailed Description
Constant-estimator volatility model.
Volatilities are assumed to be expressed on an annual basis.
Author
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