Hi
the QuantLib implementation is described in
http://www.math.ku.dk/~rolf/teaching/ctff03/Gatheral.1.pdf, see esp. chapter 2.3
regards
Klaus
----- original message --------
Subject: [Quantlib-users] questions about LocalVolSurface implementation
Sent: Thu, 26 Aug 2010
From: kangyin ye
Hi guys,
I am puzzled about the QuantLib implementation of function LocalVolSurface::localVolImpl.Conceptually, it converts the input implied vol surface to local vol. But the code seems quitedifferent from Formula (50.8), wilmott on Quantitative finance, 2nd, P844.
Seems some tricks i can not figure. Could anybody kindly give me some help? detail documentis also appreciated. Thanks in advance!
ky
--- original message end ----
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