Re: How to overwrite the local vol calculation

On Tue, 2008-06-17 at 02:59 -0700, Yomi wrote:
> 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?

It's not possible with the current implementation. You'll have to patch
the GeneralizedBlackScholesProcess class.

Luigi

--

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