Process with local vol only

Posted by Lapin on
URL: http://quantlib.414.s1.nabble.com/Process-with-local-vol-only-tp5892.html

Hi,

I have a calibrated local vol, but no implied vol.
I would like to register a process (BS type), that stil works in the MC
simulation framework.
Is it enough to create a derived class of GeneralizedBlackScholesProcess
class with the good constructor?

The diffusion method is already calling the local vol to diffuse the
underlying so in this case it should be enough.

Am I wrong?

cheers

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