QuantlibXL: Black Variance surface error

[Lapin]

Hi,

I am trying to build a black variance surface based on a 4 x 3 vol matrix (4 dates  and 3 strikes).

For the dates to pass in the BlackVarianceSurface function, I use the function oFilter to create my array of dates
For the strikes to pass in the BlackVarianceSurface function, I use the oFilter function also.
For the Vols to pass in the BlackVarianceSurface function, I use the oPack function with my vol array as input.

I have a strange error "not enough point to interpolate".
Since there is no sample for this function and I can not debug yet, I am wondering if someone knows how to make it work?

Regards

[Luigi Ballabio]

On Tue, 2007-07-24 at 01:27 -0700, Yomi wrote:
> I am trying to build a black variance surface based on a 4 x 3 vol matrix (4
> dates  and 3 strikes).
>
> I have a strange error "not enough point to interpolate".

Are you using cubic splines?

Later,
        Luigi

--

Green's Law of Debate:
Anything is possible if you don't know what you're talking about.



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[Lapin]

Hi Luigi,

I am trying to use the default setup.
I am passing dates using ohPack function, Strikes using the same function, and vols matrix.
Perhaps I am doing something wrong but if you can help me it would be fantastic.

Regards

Luigi Ballabio wrote

On Tue, 2007-07-24 at 01:27 -0700, Yomi wrote:
> I am trying to build a black variance surface based on a 4 x 3 vol matrix (4
> dates  and 3 strikes).
>
> I have a strange error "not enough point to interpolate".

Are you using cubic splines?

Later,
        Luigi

--

Green's Law of Debate:
Anything is possible if you don't know what you're talking about.



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[Luigi Ballabio]

On Thu, 2007-07-26 at 06:14 -0700, Yomi wrote:
> I am trying to use the default setup.
> I am passing dates using ohPack function, Strikes using the same function,
> and vols matrix.
> Perhaps I am doing something wrong but if you can help me it would be
> fantastic.

Hmm, I don't know. The "not enough points" thing made me think of
splines (three points are not enough for those, I think) but I'm not
familiar with the Excel plugin.

Luigi


--

There are no rules of architecture for a castle in the clouds.
-- Gilbert K. Chesterton



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[eric ehlers]

Hello,

On 7/24/07, Yomi <[hidden email]> wrote:

>
> Hi,
>
> I am trying to build a black variance surface based on a 4 x 3 vol matrix (4
> dates  and 3 strikes).
>
> For the dates to pass in the BlackVarianceSurface function, I use the
> function oFilter to create my array of dates
> For the strikes to pass in the BlackVarianceSurface function, I use the
> oFilter function also.
> For the Vols to pass in the BlackVarianceSurface function, I use the oPack
> function with my vol array as input.
>
> I have a strange error "not enough point to interpolate".
> Since there is no sample for this function and I can not debug yet, I am
> wondering if someone knows how to make it work?

First I would try to get it working without using ohPack() and
ohFilter().  Just set up the input ranges with the exact values
required, and pass these directly to qlBlackVarianceSurface().

Regards,
Eric

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