Re: How to overwrite the local vol calculation

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/How-to-overwrite-the-local-vol-calculation-tp6203p6206.html

On Tue, 2008-07-01 at 13:54 +0100, Guillaume Pealat wrote:
> BTW, the access to the local volatility is really slow. The
> performance are not so good with the by default diffusion process.
> I have my own parametric local vol, but have you noticed this before?

No---I haven't worked much with local volatility...

Luigi


--

The rule on staying alive as a forecaster is to give 'em a number or
give 'em a date, but never give 'em both at once.
-- Jane Bryant Quinn



-------------------------------------------------------------------------
Check out the new SourceForge.net Marketplace.
It's the best place to buy or sell services for
just about anything Open Source.
http://sourceforge.net/services/buy/index.php
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users