Re: Volatility Surface Interpolation

Posted by Ferdinando M. Ametrano-3 on Feb 06, 2008; 6:43pm
URL: http://quantlib.414.s1.nabble.com/Volatility-Surface-Interpolation-tp5741p5754.html

On Wed, Feb 6, 2008 at 7:20 PM, Sebastián Miranda Díaz
<[hidden email]> wrote:
> I saw, that BlackVolSurface changed in 0.9 to experimental. I'm
>  using it
>  in a project thats goes live in some weeks... there's anything I
>  should know????

from your previous messages it seemed to me you were using
BlackVarianceTermStructure and derived classes. Those classes didn't
change lately.

BlackVolSurface, its base class BlackAtmVolCurve, etc. are instead
experimental. Some day they might replace BlackVarianceTermStructure
in a more coherent volatility modelling framework, but when this will
happen it will be probably just a drop-in replacement. I wouldn't hold
my breath in the meantime...

ciao -- Nando

-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2008.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users