Barrier Option with Local Vol
Posted by
BL BL on
Sep 15, 2015; 3:47pm
URL: http://quantlib.414.s1.nabble.com/Barrier-Option-with-Local-Vol-tp16910.html
Hi,
i try using the FdBlackScholesBarrierEngine from Perl. I would like to use a local Vol Model.
The Engine supports this by the localVol Switch.
Only: It seems i habe to supply a Black Vol Surface. For this i need to supply a QuantLib::Matrix to the Generalized Black Scholes Process. But QL Matrix is not exported to Perl via Swig (well it is but no constructor or element access is exposed). So no good way to supply this matrix via the perl interface.
Is there a quick/recommended way to supply a black variance surface via perl?
And am i correct that then the LocalVol Termstructure can be given that such that its converted via the dupire formula?
Thanks for any hints.
Bernd
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