Class NoExceptLocalVolSurface

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

Dupire's local volatility surface that answers a given value where LocalVolSurface refuses, as where the local variance turns negative.

public sealed class NoExceptLocalVolSurface : LocalVolSurface

Inheritance

object

Extrapolator

TermStructure

VolatilityTermStructure

LocalVolTermStructure

LocalVolSurface

NoExceptLocalVolSurface

Inherited Members

LocalVolSurface.MinStrike()

LocalVolSurface.MaxStrike()

LocalVolSurface.MaxDate

LocalVolTermStructure.LocalVol(Date, double, bool)

LocalVolTermStructure.LocalVol(double, double, bool)

VolatilityTermStructure.OptionDateFromTenor(Period)

VolatilityTermStructure.BusinessDayConvention

TermStructure.TimeFromReference(Date)

TermStructure.ReferenceDate

TermStructure.DayCounter

TermStructure.Calendar

TermStructure.SettlementDays

TermStructure.MaxTime

Extrapolator.AllowsExtrapolation

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

ExtrapolatorExtensions.DisableExtrapolation<T>(T, bool)

ExtrapolatorExtensions.EnableExtrapolation<T>(T, bool)

Remarks

Immutable, as its base. It catches NanoQLException, the refusals of the surface's reads, where QuantLib's catches its Error.

Constructors

NoExceptLocalVolSurface(BlackVolTermStructure, YieldTermStructure, YieldTermStructure, double, double)

Initializes a new instance of the NoExceptLocalVolSurface class.

public NoExceptLocalVolSurface(BlackVolTermStructure blackTS, YieldTermStructure riskFreeTS, YieldTermStructure dividendTS, double underlying, double illegalLocalVolOverwrite)

Parameters

blackTS BlackVolTermStructure

The Black volatility surface.

riskFreeTS YieldTermStructure

The risk-free curve.

dividendTS YieldTermStructure

The dividend curve.

underlying double

The underlying's level.

illegalLocalVolOverwrite double

The value answered where the surface refuses.

Exceptions

ArgumentNullException

A structure is null.

Methods

LocalVolImpl(double, double)

The local volatility, or the overwrite where the surface refuses.

protected override double LocalVolImpl(double t, double strike)

Parameters

t double

The time.

strike double

The strike.

Returns

double

The local volatility.