Posted by
Peter Caspers-4 on
URL: http://quantlib.414.s1.nabble.com/localVolatility-uses-Constant-Vol-tp16920p16921.html
Hi Bernd,
do you first pass a constant volatility input and then relink it to a
full surface (then the update mechanism could be the problem) ?
Otherwise the class uses a cast to detect a constant volatility input,
hard to believe that anything can go wrong here. Can you produce a
pure C++ example that triggers the error or is the interplay with Perl
essential ?
Best regards
Peter
On 21 September 2015 at 14:30, BL BL <
[hidden email]> wrote:
> 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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