SimpleLocalEstimator Class Reference

Local-estimator volatility model. More...

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

Inherits LocalVolatilityEstimator< T >.

Public Member Functions

 SimpleLocalEstimator (Real y)
 
TimeSeries< Volatilitycalculate (const TimeSeries< Real > &quoteSeries)
 
- Public Member Functions inherited from LocalVolatilityEstimator< T >
virtual TimeSeries< Volatilitycalculate (const TimeSeries< T > &quoteSeries)=0
 

Detailed Description

Local-estimator volatility model.

Volatilities are assumed to be expressed on an annual basis.