A free/open-source library for quantitative finance
SimpleLocalEstimator Class Reference
Local-estimator volatility model. More...
#include <ql/models/volatility/simplelocalestimator.hpp>
Inherits LocalVolatilityEstimator< T >.
Public Member Functions | |
| SimpleLocalEstimator (Real y) | |
| TimeSeries< Volatility > | calculate (const TimeSeries< Real > "eSeries) |
 Public Member Functions inherited from LocalVolatilityEstimator< T > | |
| virtual TimeSeries< Volatility > | calculate (const TimeSeries< T > "eSeries)=0 |
Detailed Description
Local-estimator volatility model.
Volatilities are assumed to be expressed on an annual basis.