LocalVolCurve::localVolImpl
Posted by Jens Thiel on Dec 31, 2002; 6:30am
URL: http://quantlib.414.s1.nabble.com/LocalVolCurve-localVolImpl-tp10206.html
Hi Luigi,
template<class Interpolator1D>
double LocalVolCurve<Interpolator1D>::localVolImpl(
Time t, double, bool extrapolate) const {
double dt = (1.0/365.0),
var1 = blackVarianceCurve_->blackVariance(t,extrapolate),
var2 = blackVarianceCurve_->blackVariance(t+dt,true),
derivative = (var2-var1)/dt;
return QL_SQRT(derivative);
}
in the calls to blackVarianceCurve_->blackVariance the only matching method
signature I could find is:
//! Black present (a.k.a spot) variance
double BlackVolTermStructure::blackVariance(Time maturity,
double strike,
bool extrapolate = false) const;
Is this, as I guess, a C++ type conversion "feature" (aka unnoticed error)
or am I missing something?
Happy new year!!
Jens.