Using external Local Vol for pricing

[stephan buschmann]

Hello all,

I would like to use a Local Vol for pricing which was generated outside QL. Originally the LocalVol comes from Murex, having different strikes for each maturity. It can be easily extracted but then not easily plugged into QuantLib.

ql\termstructures\volatility\equityfx\localvolsurface.cpp takes care about the internal calculation. But I dont see a clean and well designed way to override this atm.
Does any has some experience or a any ideas how a sophisticated approach should look like? Passing some more or different arguments to the process would be nice, telling the it which vola to take?

Many thanks!

Stephan

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[Klaus Spanderen-2]

Hi Stephan,

 

I'd suggest the following approach:

1, implement the interface class LocalVolCurve, in particular overwrite the function localVolImp(Time, Real) so that it return the Murex values.

2, create a new class

 

class LocalVolBlackScholesProcess : public GeneralizedBlackScholesProcess {

public:

const Handle<LocalVolTermStructure>& localVolatility() const;

};

 

which returns the Murex backed local volatility surface....and hmm you must declare this method virtual in GeneralizedBlackScholesProcess. not very elegant, I know.

 

regards

Klaus

 

On Sunday, October 06, 2013 08:36:54 PM stephan buschmann wrote:

Hello all,

I would like to use a Local Vol for pricing which was generated outside QL. Originally the LocalVol comes from Murex, having different strikes for each maturity. It can be easily extracted but then not easily plugged into QuantLib.

ql\termstructures\volatility\equityfx\localvolsurface.cpp takes care about the internal calculation. But I dont see a clean and well designed way to override this atm.
Does any has some experience or a any ideas how a sophisticated approach should look like? Passing some more or different arguments to the process would be nice, telling the it which vola to take?

Many thanks!

Stephan

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[stephan buschmann]

Hi Klaus, many thanks for this thoughts!
I will take a closer look to the implementation.

On Mon, Oct 7, 2013 at 9:42 PM, Klaus Spanderen <[hidden email]> wrote:

> Hi Stephan,
>
>
>
> I'd suggest the following approach:
>
> 1, implement the interface class LocalVolCurve, in particular overwrite the
> function localVolImp(Time, Real) so that it return the Murex values.
>
> 2, create a new class
>
>
>
> class LocalVolBlackScholesProcess : public GeneralizedBlackScholesProcess {
>
> public:
>
> const Handle<LocalVolTermStructure>& localVolatility() const;
>
> };
>
>
>
> which returns the Murex backed local volatility surface....and hmm you must
> declare this method virtual in GeneralizedBlackScholesProcess. not very
> elegant, I know.
>
>
>
> regards
>
> Klaus
>
>
>
> On Sunday, October 06, 2013 08:36:54 PM stephan buschmann wrote:
>
> Hello all,
>
> I would like to use a Local Vol for pricing which was generated outside QL.
> Originally the LocalVol comes from Murex, having different strikes for each
> maturity. It can be easily extracted but then not easily plugged into
> QuantLib.
>
> ql\termstructures\volatility\equityfx\localvolsurface.cpp takes care about
> the internal calculation. But I dont see a clean and well designed way to
> override this atm.
> Does any has some experience or a any ideas how a sophisticated approach
> should look like? Passing some more or different arguments to the process
> would be nice, telling the it which vola to take?
>
> Many thanks!
>
> Stephan
>
>
>

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