Re: QuantlibXL: Black Variance surface error

Posted by Luigi Ballabio on Jul 26, 2007; 1:31pm
URL: http://quantlib.414.s1.nabble.com/QuantlibXL-Black-Variance-surface-error-tp1181p1183.html

On Tue, 2007-07-24 at 01:27 -0700, Yomi wrote:
> I am trying to build a black variance surface based on a 4 x 3 vol matrix (4
> dates  and 3 strikes).
>
> I have a strange error "not enough point to interpolate".

Are you using cubic splines?

Later,
        Luigi

--

Green's Law of Debate:
Anything is possible if you don't know what you're talking about.



-------------------------------------------------------------------------
This SF.net email is sponsored by: Splunk Inc.
Still grepping through log files to find problems?  Stop.
Now Search log events and configuration files using AJAX and a browser.
Download your FREE copy of Splunk now >>  http://get.splunk.com/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users