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QuantLib_SimpleLocalEstimator
Langue: en
Version: 375151 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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 > "eSeries)
Detailed Description
Local-estimator volatility model.
Volatilities are assumed to be expressed on an annual basis.
Author
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