Re: Time varying vol black scholes

Posted by Ferdinando M. Ametrano-2 on
URL: http://quantlib.414.s1.nabble.com/joint-calendar-tp2345p2357.html

Chak wrote:
>[Time varying vol black scholes] Is there such a model?
>I can't quite find it.
There are classes to model Black vol surfaces and local volatilities in 0.3.1
If you have CVS access I would urge you to see/use the current CVS
versions, since they are "under construction"

I will be working on using time-varying vol (and skewed vol, local vol,
etc) as soon as I've finished with the new pricing engine framework. No
plan to extend to time dependant parameters the old framework that will be
deprecated with 0.3.2


------------
ciao -- Nando