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) |
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virtual TimeSeries< Volatility > | calculate (const TimeSeries< T > "eSeries)=0 |
Local-estimator volatility model.
Volatilities are assumed to be expressed on an annual basis.