SimpleLocalEstimator Class Reference
#include <ql/models/volatility/simplelocalestimator.hpp>
Inherits LocalVolatilityEstimator.
Detailed Description
Local-estimator volatility model.Volatilities are assumed to be expressed on an annual basis.
Public Member Functions | |
SimpleLocalEstimator (Real y) | |
TimeSeries< Volatility > | calculate (const TimeSeries< Real > "eSeries) |