Re: Barrier Option with Local Vol

Posted by BL BL on Sep 16, 2015; 6:55am
URL: http://quantlib.414.s1.nabble.com/Barrier-Option-with-Local-Vol-tp16910p16912.html

Hi Peter,

thanks. This is already helpful.

For Perl. I exposed the Engine already to perl. It works without the local vol part.

I looked at the matrix swig definition in linearalgebra.i. They expose most of the methods to not perl. For whatever reason.

I tried to insert 2 methods for element access. They compiled. I was able to insert an element and then read it out again from perl.

But when i tried to acess further elemets i got an unhandled error.

Also i wondered a bit because the matrix is not exported via a pointer. Maybe this is the reason for the problems.

ATM i try some workarounds (including possibly changing the signature of the original engine and passing a vector. Then transforming this into a matrix in the c++ glue code.

But i hoped for another solution.

Maybe there is still someone out there using perl and having solved this.

Many thanks anyway!

Bernd

2015-09-15 19:18 GMT+02:00 Peter Caspers <[hidden email]>:

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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