local volatility in option pricing

[damavand]

Hi

I am trying to price options with local volatility given an implied volatiltiy surface.

Unfortunatley I am not succeding in this. I have seen that there is a LocalVolSurface class in

QuantLib/termstructures/volatility/equityfx

but I have not found a test case in which local volatility is used in a tree.

I would appreciate if someone could inform me on if I can find such a test case in QL or if you could send me a piece of code implementing option pricing with local volatiliy.

Regards,
Damavand

[Luigi Ballabio]

On Wed, 2009-01-21 at 01:59 -0800, damavand wrote:
> I am trying to price options with local volatility given an implied
> volatiltiy surface.

Damavand,
        sorry, but we don't have code for that yet.  Do you want to try and
write it?

Luigi


--

All generalizations are false, including this one.
-- Mark Twain



------------------------------------------------------------------------------
Create and Deploy Rich Internet Apps outside the browser with Adobe(R)AIR(TM)
software. With Adobe AIR, Ajax developers can use existing skills and code to
build responsive, highly engaging applications that combine the power of local
resources and data with the reach of the web. Download the Adobe AIR SDK and
Ajax docs to start building applications today-http://p.sf.net/sfu/adobe-com
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users