SimpleLocalEstimator Class Reference

Local-estimator volatility model. More...

#include <simplelocalestimator.hpp>

Inheritance diagram for SimpleLocalEstimator:

Collaboration diagram for SimpleLocalEstimator:

Public Member Functions
	SimpleLocalEstimator (Real y)
TimeSeries< Volatility >	calculate (const TimeSeries< Real > &quoteSeries) override
Public Member Functions inherited from LocalVolatilityEstimator< Real >
virtual	~LocalVolatilityEstimator ()=default
virtual TimeSeries< Volatility >	calculate (const TimeSeries< Real > &quoteSeries)=0

Private Attributes
Real	yearFraction_

Detailed Description

Local-estimator volatility model.

Volatilities are assumed to be expressed on an annual basis.

Definition at line 35 of file simplelocalestimator.hpp.

Constructor & Destructor Documentation

SimpleLocalEstimator()

SimpleLocalEstimator

(

Real

y

)

Definition at line 40 of file simplelocalestimator.hpp.

Member Function Documentation

calculate()

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

overridevirtual

Implements LocalVolatilityEstimator< Real >.

Definition at line 42 of file simplelocalestimator.hpp.

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Member Data Documentation

yearFraction_

Real yearFraction_

private

Definition at line 38 of file simplelocalestimator.hpp.