Posted by
Ferdinando Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/fx-in-Quantlib-tp2306p2310.html
>I'm trying to refactor the file voltermstructure.hpp
as the author of that file I'm pleased to welcome you. Please just allow me
half a day to check if I have major modifications/additions to that file
that I haven't checked into the CVS yet.
>Also, I would like to move part of the code in a new file
>voltermstructure.cpp
no problem at all.
>I do not understand the interface of the class
>LocalVolTermStructure, e.g.,
> public:
> double localVol(const Date& date1,
> const Date& date2,
> double underlyingLevel,
> bool extrapolate = false) const;
>and similarly for the others.
>
>Can I drop the extra parameter?
You can. I cannot figure out what I had in mind when I added that second
date. Probably it was just a wrong cut&paste.
>I'd like to add few methods to compute the derivatives
>of BlackVolTermStructure. These are needed to implement the method
>described in Rebonato(Vol and Cor.) at chapter 6.
>The added methods are
>
>virtual double timeDerivative(...)
>virtual double strikeDerivative(...)
>virtual double strikeSecondDerivative(...)
>
>and they would be implemented as finite difference in the
>BlackVolTermStructure class.
that would be great, and it was in my original plan, if only I had time
enough to implement it.
While on this subject: do you plan to contribute a constructor for a
LocalVolTermStructure class that uses a BlackVolTermStructure as input to
bootstrap the local vol surface?
In that case I would consider worthwhile to pay attention to degenerate
cases as 1) constant Black vol (no time/strike dependencies) 2) time
dependent Black vol (no strike dependencies): while I do understand that
these cases do not have real-life values, I think they help tremendously
when it comes to testing and didactical issues.
Of course in these 2 cases there is no real difference between a local vol
curve and the corresponding Black vol curve, it's just a matter of
providing a local vol interface to what is basically a simple Black vol curve.
Am I missing something? Do you agree with my comments?
thank you for your help
ciao -- Nando
ciao -- Nando