quantlib.termstructures.volatility.equityfx.local_vol_surface.

LocalVolSurface

class LocalVolSurface(BlackVolTermStructure black_ts, HandleYieldTermStructure risk_free_ts, HandleYieldTermStructure dividend_ts, Quote underlying)

Bases: LocalVolTermStructure

Attributes:
calendar
extrapolation
reference_date
settlement_days

Methods

localVol(self, d, Real underlying_level, ...)

option_date_from_tenor(self, Period period)

time_from_reference(self, Date date)