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Option with IV compromised of two components that changes over time

Posted by Mini Trader on Mar 05, 2016; 6:58pm
URL: http://quantlib.414.s1.nabble.com/Option-with-IV-compromised-of-two-components-that-changes-over-time-tp17338.html

I have an option which I am saying has an IV that is the weighted aggregate of two underlying volatilities.

E.g. Aggregate volatility is made up of 90% part A vol and 10% part B vol.  The aggregate is just a weighted average of the two.

The weight itself can change through time e.g. part B might be the result of an upcoming event (earnings) so once the event completes I would expect the the weighting to move back entirely to Part A that is Aggregate volatility becomes 100% part A and 0% part B.

What components of quantlib could assist in modelling this type of behavior?

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