Re: LocalVolCurve::localVolImpl
Posted by
Ferdinando Ametrano-3 on
Dec 31, 2002; 10:24am
URL: http://quantlib.414.s1.nabble.com/LocalVolCurve-localVolImpl-tp10206p10207.html
Jens,
>the only matching method
>signature I could find is:
>
> //! Black present (a.k.a spot) variance
> double BlackVolTermStructure::blackVariance(Time maturity,
> double strike,
> bool extrapolate = false) const;
>
>Is this, as I guess, a C++ type conversion "feature" (aka unnoticed error)
>or am I missing something?
you were right. I fixed the unwanted feature. The bad thing about that part
of the code it is that it's not actually used by anybody I know of. Well,
it will be for 0.4
ciao -- Nando