quantlib.termstructures.volatility.equityfx.local_vol_surface.

LocalVolSurface

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

Bases: LocalVolTermStructure

Attributes:

calendar

Calendar: calendar

day_counter

DayCounter: day counter

extrapolation

max_date

Date: the latest date for which the curve can return values

max_time

Time: the latest time for which the curve can return values

reference_date

Date: the date at which discount = 1.0 and/or variance = 0.0

settlement_days

int: number of settlement days used for reference date calculation

Methods

localVol(self, d, Real underlying_level, ...)
option_date_from_tenor(self, Period period)
time_from_reference(self, Date dt)	date/time conversion