localVolatility uses Constant Vol

Posted by BL BL on Sep 21, 2015; 11:58am
URL: http://quantlib.414.s1.nabble.com/localVolatility-uses-Constant-Vol-tp16920.html

Hi,

i would like to use a smiled Black Variance Surface with a GeneralizedBlackscholesProcess.

I passed a BlackVarianceSurface to the process.

Debugging my little perl application shows: The localVolatility Member of the process detects (wrongly) a constant local vol.

How can i force the use of a smiled surface in localVolatility?

Any Help appriciated.

Best Regards,

Bernd

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