Re: LocalvolSurface.cpp

Posted by Andrew Kolesnikov on
URL: http://quantlib.414.s1.nabble.com/LocalvolSurface-cpp-tp12806p12814.html

Hi.
Was it any feedback from Dima?
I'm also curious about this issue with respect to extrapolation problem during local vol calculation.

By the way, regarding main topic - you should keep in mind, that Duperi formula is used in continuous case calculation, so dt in lattice method must be really short (for instance, 3000 per year). I use LocalVolSurface class in QL PDE framework and it produces good results (see also http://www.nabble.com/LocalVolSurface-class-to20896055.html#a20896055)

MH_quant wrote

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.