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Re: QuantlibXL: Black Variance surface error

Posted by eric ehlers on Jul 30, 2007; 10:09am
URL: http://quantlib.414.s1.nabble.com/QuantlibXL-Black-Variance-surface-error-tp1181p1182.html

Hello,

On 7/24/07, Yomi <[hidden email]> wrote:

>
> Hi,
>
> I am trying to build a black variance surface based on a 4 x 3 vol matrix (4
> dates  and 3 strikes).
>
> For the dates to pass in the BlackVarianceSurface function, I use the
> function oFilter to create my array of dates
> For the strikes to pass in the BlackVarianceSurface function, I use the
> oFilter function also.
> For the Vols to pass in the BlackVarianceSurface function, I use the oPack
> function with my vol array as input.
>
> I have a strange error "not enough point to interpolate".
> Since there is no sample for this function and I can not debug yet, I am
> wondering if someone knows how to make it work?

First I would try to get it working without using ohPack() and
ohFilter().  Just set up the input ranges with the exact values
required, and pass these directly to qlBlackVarianceSurface().

Regards,
Eric

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