Posted by
Klaus Spanderen-2 on
Dec 14, 2012; 2:44pm
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-dev-Digest-Vol-78-Issue-12-tp13755p13807.html
Hi
The implementation is based on the original Dupire formula and therefore works only if you have a very "smooth" and well-defined BS volatility surface. The test case
BarrierOptionTest
::
testLocalVolAndHestonComparison
()
shows a usage of it.
This algorithm
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1694972
might be helpful to generate "smooth" volatility surfaces.
cheers
Klaus
But then is seems to work,
Luigi Ballabio <
[hidden email]> hat am 14. Dezember 2012 um 12:01 geschrieben:
> Hi,
> the LocalVolSurface is what we have. It's not overly tested,
> though, so it would be great if anyone tried it out and reported.
>
> Luigi
>
>
> On Wed, Dec 12, 2012 at 3:43 PM, Theo Boafo <
[hidden email]> wrote:
> > Hi All,
> >
> > Do we have an implementation of Local Vol in Quantlib? I see a LocalVol
> > surface but does not seem like its used.
> >
> > Regards
> >
> > Theo
>
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