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Re: Barrier Option with Local Vol

Posted by Peter Caspers-4 on Sep 15, 2015; 4:46pm
URL: http://quantlib.414.s1.nabble.com/Barrier-Option-with-Local-Vol-tp16910p16911.html

Hi Bernd,

I don't know about the Perl interface.

Concerning the GeneralizedBlackScholesProcess, yes, this converts a
strike and time dependent black surface to a local volatility surface
(using the class LocalVolSurface).

Best regards
Peter


On 15 September 2015 at 18:19, BL BL <[hidden email]> wrote:

> 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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