Re: Volatility Surface Interpolation

Posted by Bojan Nikolic on Feb 05, 2008; 7:07pm
URL: http://quantlib.414.s1.nabble.com/Volatility-Surface-Interpolation-tp5741p5755.html


Hi Sebastián,

"Sebastián Miranda" <[hidden email]> writes:

> Hi Bojan,
>
> The problem is that, I have the smiles and I need to get a volatility
> matrix, so I interpolate all the smiles such that every smiles has the
> same strikes (you can see it after the line... "if ( Smiles[i].size()
> < numStrikes )" ). Then with that matrix, I interpolate to get the
> volatilities at the predefined terms.

OK, I think I see now...

The only off-the-cuff suggestion I can make is to perhaps try a higher
order interpolation scheme in your BlackVarianceSurface: see the method
setInterpolation and try BicubicSpline.

But since you are using a single date in your BlackVarianceSurface would
not something like InterpolatedSmileSection better fit your needs?

Best,
Bojan


--
Bojan Nikolic        

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