Using BlackVolTermStructure

[Jude O'Kelly-2]

Im trying to value a option using a term structure of vols but I cant
see use BlackVolTermStructure . There are no arguments to pass to the
constructor and no 'Add.' to add points to the curve. Does anyone have
any simple code example. (I'm using the SWIG version so prehaps it is
missing some elements....)

[Luigi Ballabio]

On 06/06/2006 05:33:15 PM, Jude O'Kelly wrote:
> Im trying to value a option using a term structure of vols but I cant
> see use BlackVolTermStructure . There are no arguments to pass to the
> constructor and no 'Add.' to add points to the curve.

Jude,
        apologies for the delay (I was in vacation and I had a bit of  
catch-up to do when I got back.)

BlackVolTermStructure is the base class and is abstract. You can use a  
class that inherits from it, e.g., the BlackVarianceSurface class.

Luigi


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Every solution breeds new problems.
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