QuantLib_SimpleLocalEstimator

Langue: en

Autres versions - même langue

Version: 375151 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::SimpleLocalEstimator -

Local-estimator volatility model.

SYNOPSIS


#include <ql/models/volatility/simplelocalestimator.hpp>

Inherits QuantLib::LocalVolatilityEstimator< Real >.

Public Member Functions


SimpleLocalEstimator (Real y)

TimeSeries< Volatility > calculate (const TimeSeries< Real > &quoteSeries)

Detailed Description

Local-estimator volatility model.

Volatilities are assumed to be expressed on an annual basis.

Author

Generated automatically by Doxygen for QuantLib from the source code.