Local Vol in GeneralizedBSProcess?

[Lapin]

Hi,

I have found the following inspector in the GeneralizedBlackScholesProcess class:
const Handle< LocalVolTermStructure > &  localVolatility () const

Does it mean when we create the GeneralizedBlackScholesProcess object using a BS vol surface, it creates automatically the related Local Vol Term structure?

Kind regards

[Luigi Ballabio]

On Thu, 2007-09-20 at 02:40 -0700, Yomi wrote:
> I have found the following inspector in the GeneralizedBlackScholesProcess
> class:
> const Handle< LocalVolTermStructure > &  localVolatility () const
>
> Does it mean when we create the GeneralizedBlackScholesProcess object using
> a BS vol surface, it creates automatically the related Local Vol Term
> structure?

Yes, it does.  You can look at the method's implementation to see how
it's done.

Luigi


--

The nice thing about standards is that there are so many of them to
choose from.
-- Andrew S. Tanenbaum



-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2005.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users