Re: wing volatility model

Posted by YuHong-4 on Aug 31, 2014; 2:40am
URL: http://quantlib.414.s1.nabble.com/wing-volatility-model-tp15820p15821.html


A not very helpful suggestion: wing model can be done using modeling tools
like Matlab or R.  Once the modeling part is OK, then it can be converted
into C++ like version.

Hong Yu


-----原始邮件-----
From: Jonathan.issan
Sent: Sunday, August 31, 2014 10:07 AM
To: [hidden email]
Subject: [Quantlib-dev] wing volatility model

Hello

I'm looking for wing volatility fitting model with standard
parameters: atm vol, Slope, put curve and call curve.

Does that exist in QL ?

Thank you very much for helping

Jonathan



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