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Re: Barrier Option with Local Vol

Posted by Peter Caspers-4 on Sep 16, 2015; 9:18am
URL: http://quantlib.414.s1.nabble.com/Barrier-Option-with-Local-Vol-tp16910p16914.html

Bernd,

a second constructor in the BlackVarianceSurface taking a vector of
vectors of quote handles (like it is also done in
SwaptionVolatilityMatrix for example), and observing these, would be
nice anyhow.

If it helps interfacing to Perl, the better :-)

Best regards
Peter


On 16 September 2015 at 09:27, BL BL <[hidden email]> wrote:

> 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
>> >
>> >
>> > ------------------------------------------------------------------------------
>> >
>> > _______________________________________________
>> > QuantLib-users mailing list
>> > [hidden email]
>> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>> >
>
>

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