quantlib.termstructures.volatility.equityfx.local_vol_surface.LocalVolSurface

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

Bases: LocalVolTermStructure

__init__()

Local volatility surface derived from a Black vol surface

For details about this implementation refer to [Gat].

Parameters:

  • black_ts (BlackVolTermStructure)

  • risk_free_ts (YieldTermStructure)

  • dividend_ts (YieldTermStructure, the dividend term structure.)

  • underlying (Quote, the spot underlying)

  • Notes (.. [Gat] "Stochastic Volatility and LocalVolatility" in *Case Studies and Financial Modelling Course) –

  • Gatheral (* Jim)

  • Term (Fall)

  • https (2003)

Methods

__init__

Local volatility surface derived from a Black vol surface

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

option_date_from_tenor(self, Period period)

time_from_reference(self, Date date)

Attributes

calendar

extrapolation

reference_date

settlement_days

localVol(self, d, Real underlying_level, bool extrapolate=False)