Hello,
there's no such class. If you wanted to write it, you might inherit it from BlackVolatilityTermStructure. Its constructor would take two instances of Handle<BlackVolTermStructure> representing volatilities A and B and an instance of Handle<Quote> representing the weight; and its blackVolImpl() method would combine the two underlying volatilities. Calling the setValue() method on the quote and passing a new weight would change the composition. (Kind of sketchy, I know. Write back if you need more details.)
Hope this helps,
Luigi
I have an option which I am saying has an IV that is the weighted aggregate of two underlying volatilities.
E.g. Aggregate volatility is made up of 90% part A vol and 10% part B vol. The aggregate is just a weighted average of the two.
The weight itself can change through time e.g. part B might be the result of an upcoming event (earnings) so once the event completes I would expect the the weighting to move back entirely to Part A that is Aggregate volatility becomes 100% part A and 0% part B.
What components of quantlib could assist in modelling this type of behavior?
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