BicubicSpline default constructor

[Lapin]

Hi,

I am trying to use the local vol surface object of quantlib.
It turns that there is some issues during the calibration mainly because the second derivative of the variance with respect to the log moneyness is highly negative.
This comes from my data and also from the fact we use by default the Bilinear interpolator for the variance surface.

I am trying to change the interpolator into BicubicSpline, but the compiler tells me the default constructor is missing.

error C2512: 'QuantLib::BicubicSpline::BicubicSpline' : no appropriate default constructor available

I have included my code. If someone has an idea, please be my guest.

//Create a Black Variance Surface
boost::shared_ptr<BlackVarianceSurface>        BSSurface( new BlackVarianceSurface( today ,
                                                                        option_maturities ,
                                                                        option_strikes ,
                                                                        volatilities ,
                                                                        dayCounter) ) ;
               
//Set the interpolation in order to avoid the local volatility calibration to fail
//Otherwise the second order derivative might be big and negative

BSSurface->setInterpolation<BicubicSpline>() ;

Thanks in advance

[Lapin]

My mistake.
I should have used Bicubic instead.

Thanks

Yomi wrote

Hi,

I am trying to use the local vol surface object of quantlib.
It turns that there is some issues during the calibration mainly because the second derivative of the variance with respect to the log moneyness is highly negative.
This comes from my data and also from the fact we use by default the Bilinear interpolator for the variance surface.

I am trying to change the interpolator into BicubicSpline, but the compiler tells me the default constructor is missing.

error C2512: 'QuantLib::BicubicSpline::BicubicSpline' : no appropriate default constructor available

I have included my code. If someone has an idea, please be my guest.

//Create a Black Variance Surface
boost::shared_ptr<BlackVarianceSurface>        BSSurface( new BlackVarianceSurface( today ,
                                                                        option_maturities ,
                                                                        option_strikes ,
                                                                        volatilities ,
                                                                        dayCounter) ) ;
               
//Set the interpolation in order to avoid the local volatility calibration to fail
//Otherwise the second order derivative might be big and negative

BSSurface->setInterpolation<BicubicSpline>() ;

Thanks in advance

[Luigi Ballabio]

On Wed, 2007-09-12 at 06:10 -0700, Yomi wrote:
> My mistake.
> I should have used Bicubic instead.

Ok, glad to see it worked out.

On a different subject, I see you're using Nabble for accessing the
mailing list. I had a cursory look (since I though I might mention it on
the mailing-list page) and I saw that it only archives posts since
January. Do you know whether it's possible for them (and whether they're
interested) to import past archives?

Luigi


--

I have yet to see any problem, however complicated, which, when you
looked at it in the right way, did not become still more complicated.
-- Poul Anderson



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