Re: [Quantlib-users] blackvariancecurve question - used by the LMM code...

Posted by Klaus Spanderen on Mar 09, 2006; 12:49pm
URL: http://quantlib.414.s1.nabble.com/Re-Quantlib-users-blackvariancecurve-question-used-by-the-LMM-code-tp11020.html

Hi Nando,

you wrote
> BlackVarianceCurve is the wrong class for this task. ...
> If I got it right LmVolatilityModel is the LMM core dynamic. The class
> for caplet variance might be std::vector<Volatility> plus an
> interpolation method, without further constraints.
agreed. In order to allow Luigi to ship 0.3.12 I've send him a three line
patch, which allows - for this release only - to disable the constraint check
in BlackVarianceCurve using an additional parameter in the constructor.
Default is of course to check the constraint. Within the next release I'll
change CapletVarianceCurve towards replicating the interpolation
functionality.

cheers
 Klaus