LocalVolatility Class Reference

Implements the Dupire's local volatility model. More...

#include <LocalVolatility.hpp>

Public Member Functions
	LocalVolatility ()
	LocalVolatility (double r, std::function< double(double, double)> &sigma)
int	calibrate_dupire (std::vector< std::vector< double >> &w, std::vector< double > &T, std::vector< double > &y, double spot)
std::vector< std::vector< double > >	generate_paths (int n_paths, double spot, int steps, double T)

Detailed Description

Implements the Dupire's local volatility model.

Definition at line 29 of file LocalVolatility.hpp.

Constructor & Destructor Documentation

LocalVolatility() [1/2]

LocalVolatility::LocalVolatility

(

)

Definition at line 5 of file LocalVolatility.cpp.

LocalVolatility() [2/2]

LocalVolatility::LocalVolatility ( double  r, std::function< double(double, double)> &  sigma  )

inline

Definition at line 37 of file LocalVolatility.hpp.

Member Function Documentation

calibrate_dupire()

int LocalVolatility::calibrate_dupire	(	std::vector< std::vector< double >> &	w,
		std::vector< double > &	T,
		std::vector< double > &	y,
		double	spot
	)

Definition at line 43 of file LocalVolatility.cpp.

References RectBivariateCubicSpline::eval(), RectBivariateCubicSpline::fit(), and RectBivariateCubicSpline::partial_derivative().

Referenced by Execution::execute().

generate_paths()

std::vector< std::vector< double > > LocalVolatility::generate_paths	(	int	n_paths,
		double	spot,
		int	steps,
		double	T
	)

Definition at line 11 of file LocalVolatility.cpp.

Referenced by Execution::execute().

---

The documentation for this class was generated from the following files:

• /home/runner/work/FTQuant/FTQuant/include/LocalVolatility.hpp
• /home/runner/work/FTQuant/FTQuant/ftqlib/LocalVolatility.cpp