Class SimpleLocalEstimator

Local-estimator volatility model

Volatilities are assumed to be expressed on an annual basis.

Hierarchy

LocalVolatilityEstimator<Real>
- SimpleLocalEstimator

Index

Constructors

constructor

Properties

_yearFraction

Accessors

isDisposed

Methods

Constructors

constructor

new SimpleLocalEstimator(y: Real): SimpleLocalEstimator

- Defined in ql/models/volatility/simplelocalestimator.ts:15
Parameters
- y: Real
Returns SimpleLocalEstimator

Properties

Private _yearFraction

_yearFraction: Real

Accessors

isDisposed

get isDisposed(): boolean

Inherited from LocalVolatilityEstimator.isDisposed
- Defined in ql/volatilitymodel.ts:14
Returns boolean

Methods

calculate1

calculate1(quoteSeries: TimeSeries<Real>): TimeSeries<number>

Overrides LocalVolatilityEstimator.calculate1
- Defined in ql/models/volatility/simplelocalestimator.ts:21
Parameters
- quoteSeries: TimeSeries<Real>
Returns TimeSeries<number>

dispose

dispose(): void

Inherited from LocalVolatilityEstimator.dispose
- Defined in ql/volatilitymodel.ts:18
Returns void