market vol surfaces
I’m working on equity/fx vol surfaces within QuantLib. However, I don’t see any surface which incorporates some basic definitions of the underlying instruments (for the implied vol).
Definitions such as:
Spot-settlement lag and calendar
Exercise-settlement lag and calendar
Would it not make sense to do the same as for the yield-term-structures and have some VolHelpers which can supply this information as well as some basic functionality (Call prices, Put prices, Implied vol from price etc.)?
Or am I not looking in the right place?
Thanks,
Simon
Simon Ibbotson
Valuations: Modelling & Methodologies.
Prudential Risk Division | Financial Services Authority
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