use of VulatilityStructure

Posted by Vadim Ogranovich-3 on Apr 19, 2002; 2:24pm
URL: http://quantlib.414.s1.nabble.com/use-of-VulatilityStructure-tp2004.html

Hi,

I have been searching for ways of representing and fitting volatility smiles
of options in QL. The closest things that I found are all sorts of
*VolatilityStructure classes. They seem to be coming from the area of fixed
income, where I am lacking the necessary background to tell whether they are
useful for my purposes. Interestingly the *VolatilityStructure classes
appear in .hpp but not in any of .cpp files.

Here are few related questions:
1. Is there any support for volatility smiles of options? This by itself is
a two-level question: a) whether there is a class that represents a smile
and b) whether there are methods that fit the smile to the current set of
option prices.

2. Are there means to incorporate time-dependent (but not stochastic)
volatility in pricing of FdDividendAmericanOption. Here the answer is
probably "yes, in principal you can" given what I have read in "The finite
difference framework" of the user manual, but I am wondering is there an
already canned solution.

2. Out of curiosity, why *VolatilityStructure classes appear in .cpp files
only?

Thanks,
Vadim

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