Class LocalVolatilityEstimator<T>

Namespace

NanoQL

Assembly

NanoQL.dll

A local volatility estimator: a volatility for each date of a series of quotes, from the quotes around it.

public abstract class LocalVolatilityEstimator<T>

Type Parameters

T

The quote's type.

Inheritance

object

LocalVolatilityEstimator<T>

Derived

GarmanKlassAbstract

SimpleLocalEstimator

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

An extension point, as in QuantLib: each estimator derives from it. Estimators are immutable, so they answer the same on every thread.

Constructors

LocalVolatilityEstimator()

Initializes a new instance of the LocalVolatilityEstimator<T> class.

protected LocalVolatilityEstimator()

Methods

Calculate(TimeSeries<T>)

The volatilities the quotes give.

public abstract TimeSeries<double> Calculate(TimeSeries<T> quoteSeries)

Parameters

quoteSeries TimeSeries<T>

The quotes.

Returns

TimeSeries<double>

A volatility for each date the estimator reaches.