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Vol curves, surfaces

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rohan talwar

Vol curves, surfaces

Hi all
Are there any implementations for vol surfaces done in XL (or the like) for constructing vol surfaces or curves? Preferably something suitable for equity market usage.

Cheers
Rohan Talwar

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rohan talwar

Re: Vol curves, surfaces

Thanks for coming back to me Cyril.

Cheers RT

From: Cyril Boudin <[hidden email]>
To: rohan talwar <[hidden email]>
Sent: Thu, 17 March, 2011 19:32:57
Subject: Re: [Quantlib-users] Vol curves, surfaces

Hi

Not really, a part of it has been developped.

At this time, there is no parametric model (2D, or 3D),

You will need to have your own parametric model (taylor, 2d order is fine) and use

pricer of vanillas (trees) / solver to get the implied vols (newton raphson method is fine).

Then after getting all the vol levels, you will need to solve for paramters of your P.M.

Cyril

2011/3/17 rohan talwar <[hidden email]>

Hi all
Are there any implementations for vol surfaces done in XL (or the like) for constructing vol surfaces or curves? Preferably something suitable for equity market usage.

Cheers
Rohan Talwar

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