Using external Local Vol for pricing

Posted by stephan buschmann on
URL: http://quantlib.414.s1.nabble.com/Using-external-Local-Vol-for-pricing-tp14559.html

Hello all,

I would like to use a Local Vol for pricing which was generated outside QL. Originally the LocalVol comes from Murex, having different strikes for each maturity. It can be easily extracted but then not easily plugged into QuantLib.

ql\termstructures\volatility\equityfx\localvolsurface.cpp takes care about the internal calculation. But I dont see a clean and well designed way to override this atm.
Does any has some experience or a any ideas how a sophisticated approach should look like? Passing some more or different arguments to the process would be nice, telling the it which vola to take?

Many thanks!

Stephan

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