QuantLib_ConstantEstimator

Langue: en

Autres versions - même langue

Version: 383798 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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