SimpleLocalEstimator Class Reference

Local-estimator volatility model. More...

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

Public Member Functions
	SimpleLocalEstimator (Real y)
TimeSeries< Volatility >	calculate (const TimeSeries< Real > &quoteSeries) override

Detailed Description

Local-estimator volatility model.

Volatilities are assumed to be expressed on an annual basis.