1 Jul 15:06
Re: How to overwrite the local vol calculation
From: Luigi Ballabio <luigi.ballabio <at> gmail.com>
Subject: Re: How to overwrite the local vol calculation
Newsgroups: gmane.comp.finance.quantlib.user
Date: 2008-07-01 13:06:47 GMT
Subject: Re: How to overwrite the local vol calculation
Newsgroups: gmane.comp.finance.quantlib.user
Date: 2008-07-01 13:06:47 GMT
On Tue, 2008-07-01 at 13:54 +0100, Guillaume Pealat wrote: > BTW, the access to the local volatility is really slow. The > performance are not so good with the by default diffusion process. > I have my own parametric local vol, but have you noticed this before? No---I haven't worked much with local volatility... Luigi -- -- The rule on staying alive as a forecaster is to give 'em a number or give 'em a date, but never give 'em both at once. -- Jane Bryant Quinn ------------------------------------------------------------------------- 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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