How to overwrite the local vol calculation
Posted by Lapin on
URL: http://quantlib.414.s1.nabble.com/How-to-overwrite-the-local-vol-calculation-tp6203.html
Hi,
I have a local vol surface that has been calibrated to market data.
I want to create a derivated GeneralizedBlackScholesProcess using only this vol surface.
i could use in my constructor a flat vol, but then after I would like to link my localVolSurface_ to the one I pass as argument.
Any idea how to do?
Cheers