Re: LocalvolSurface.cpp

Posted by Ferdinando Ametrano-4 on
URL: http://quantlib.414.s1.nabble.com/LocalvolSurface-cpp-tp12806p12817.html

On Mon, Apr 27, 2009 at 11:20 AM, Michael Heckl <[hidden email]> wrote:
> I set up a constant extrapolation for both, Strike and
> Maturity in my BlackVarianceSurface.

I don't work on equities but constant variance extrapolation in strike
and maturity seems plain wrong to me. In time it implies zero forward
volatility, in strike it violates concavity smile requirement

ciao -- Nando

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