1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Joseph Wang
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file volatilitymodel.hpp
21 \brief Volatility term structures
22*/
23
24#ifndef quantlib_volatility_model_hpp
25#define quantlib_volatility_model_hpp
26
27#include <ql/types.hpp>
28#include <ql/timeseries.hpp>
29
30
31namespace QuantLib {
32
33 template <class T>
34 class LocalVolatilityEstimator {
35 public:
36 virtual ~LocalVolatilityEstimator() = default;
37 virtual TimeSeries<Volatility>
38 calculate(const TimeSeries<T> &quoteSeries) = 0;
39 };
40
41 class VolatilityCompositor {
42 public:
43 typedef TimeSeries<Volatility> time_series;
44 virtual ~VolatilityCompositor() = default;
45 virtual time_series calculate(const time_series& volatilitySeries) = 0;
46 virtual void calibrate(const time_series& volatilitySeries) = 0;
47 };
48
49}
50
51
52#endif
53

source code of quantlib/ql/volatilitymodel.hpp