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Re: QuantlibXL: Black Variance surface error

Posted by Lapin on Jul 26, 2007; 2:14pm
URL: http://quantlib.414.s1.nabble.com/QuantlibXL-Black-Variance-surface-error-tp1181p1184.html

Hi Luigi,

I am trying to use the default setup.
I am passing dates using ohPack function, Strikes using the same function, and vols matrix.
Perhaps I am doing something wrong but if you can help me it would be fantastic.

Regards

Luigi Ballabio wrote
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.



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