On Sun, Jan 22, 2012 at 11:11 PM, Christoph Breig
<
[hidden email]> wrote:
> is there any possibility to create a volatiltiy surface from which I can
> draw an implied vola for a given moneyness and a given maturity (including
> extrapolation)?
Not for a given moneyness; current implementations draw by maturity and strike.
If that's good enough for you, you can use the BlackVarianceSurface
class; be aware though that it interpolates on variance (vol^2), not
on volatility.
Luigi
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