17 Jun 11:55
How to overwrite the local vol calculation
From: Yomi <guillaume.pealat <at> gmail.com>
Subject: How to overwrite the local vol calculation
Newsgroups: gmane.comp.finance.quantlib.user
Date: 2008-06-17 09:59:23 GMT
Subject: How to overwrite the local vol calculation
Newsgroups: gmane.comp.finance.quantlib.user
Date: 2008-06-17 09:59:23 GMT
Hi, I have a local vol surface that has been calibrated to market data. I want to create a derivated GeneralizedBlackScholesProcess using only this vol surface. i could use in my constructor a flat vol, but then after I would like to link my localVolSurface_ to the one I pass as argument. Any idea how to do? Cheers -- -- View this message in context: http://www.nabble.com/How-to-overwrite-the-local-vol-calculation-tp17881694p17881694.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------- Check out the new SourceForge.net Marketplace. It's the best place to buy or sell services for just about anything Open Source. http://sourceforge.net/services/buy/index.php
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