Hallo Dima,
I am very curious about your new kernel
interpolation. Sounds like this is something that can help me a lot right now. I
would like to try around a bit with different interpolation methods to overcome
my numerical problems. If I can make my surface smoother with kernel
interpolation I will give it a go and would like to do some testing on it.
How do I get your new kernel interpolation
running? Can I check it out from the SVN? I checked the trunk and I
found a file called kernelinterpolation.hpp. Does it work for 2-dimensions
or just for one because for the surface I need it for two dimensions. Can you
please also send me a link or a paper with more informations about it so I can
build up some theoretical knowledge before I start testing.
Greetings,
Michael
From: Dima
[mailto:[hidden email]]
Sent: Mittwoch,
To: Klaus Spanderen
Cc:
Subject: Re: [Quantlib-dev]
LocalvolSurface.cpp
Just a remark regarding interpolation. I've implemented kernel
interpolation (its in the trunk), which can be made sufficiently
smooth
by choosing a proper standard deviation of the gaussian kernel.
I've heard
that this smoothness property makes it a good choice for local vol
calibrations.
I don't have any personal experience with that though.
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