Re: Volatility Surface Interpolation
Posted by
Bojan Nikolic on
Mar 03, 2008; 8:49am
URL: http://quantlib.414.s1.nabble.com/Volatility-Surface-Interpolation-tp5741p5749.html
Andrea <
[hidden email]> writes:
> In case you have a matrix, it is a bit tricky because you normally
> have strikes that do not follow these lines, so you need to
> interpolate.
I think in Sebastián's case it was indeed the interpolation that was
causing problems. At least in my experience with FX options, you often
can not get away with linearly interpolating the smile.
Best,
Bojan
--
Bojan Nikolic
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