Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/How-to-overwrite-the-local-vol-calculation-tp6203p6204.html
On Tue, 2008-06-17 at 02:59 -0700, Yomi wrote:
> 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?
It's not possible with the current implementation. You'll have to patch
the GeneralizedBlackScholesProcess class.
Luigi
--
All parts should go together without forcing. You must remember that
the parts you are reassembling were disassembled by you. Therefore, if
you can't get them together again, there must be a reason. By all
means, do not use a hammer.
-- IBM maintenance manual, 1925
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