Hi,
if it's still of any interest (my bad, I lost track of the post)
the requirement is because it makes no sense to quote a volatility for
an option maturity in the past.
Luigi
On Fri, Feb 15, 2013 at 4:50 AM, xnb <
[hidden email]> wrote:
> I wonder why the settlementDate must be smaller than the vector of Dates in
> BlackVarianceSurface.
> *QL_REQUIRE(dates[0]>=referenceDate, "cannot have dates[0] <=
> referenceDate");*
> What model can be used to interpolate a volatility value ?
>
>
> test-suite\barrieroption.cpp
> ql\termstructures\volatility\equityfx\blackvariancesurface.cpp
>
> regards,
> XNB
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Black-Variance-Surface-tp14039.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> Free Next-Gen Firewall Hardware Offer
> Buy your Sophos next-gen firewall before the end March 2013
> and get the hardware for free! Learn more.
>
http://p.sf.net/sfu/sophos-d2d-feb> _______________________________________________
> QuantLib-users mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-users------------------------------------------------------------------------------
Everyone hates slow websites. So do we.
Make your web apps faster with AppDynamics
Download AppDynamics Lite for free today:
http://p.sf.net/sfu/appdyn_d2d_mar_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
