FX Implied Vol Surface class

Posted by vgdev on Jul 03, 2017; 2:16pm
URL: http://quantlib.414.s1.nabble.com/FX-Implied-Vol-Surface-class-tp18377.html

Hi,

Does there exist any implementation of  the BlackVarianceSurface suitable for FX implied vol surfaces?
As FX Implied vols are quoted corresponding to call/put delta, and will thus have a different set of strikes for various maturities. I.e. we have a matrix of strikes and a matrix of IVs, but the BlackVarianceSurface only allows for a vector of strikes.

br/
V