Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Building-a-vol-surface-when-strikes-ranges-are-different-across-maturities-tp6687p6688.html
On Oct 3, 2008, at 7:04 PM, nabbleuser2008 wrote:
> I'm looking at BlackVarianceSurface class in order to construct an
> implied
> volatility surface from the exchange listed options.
>
> Problem I'm having is that the option strikes across multiple
> maturities
> are not the same, i.e., for different maturities, not only the
> listed strike
> ranges are different, but the difference between the strikes also
> different.
>
> BlackVarianceSurface does not seem to handle that. Any suggestions
> how I
> can do that ..
If the strikes follow some kind of regular grid (say, -20%, -10%, 0%,
10%, 20% around the price) you can write a class similar to
BlackVarianceSurface and interpolate over that grid (of course, you'll
also have to convert between strike and grid coordinate.)
If there's no regular grid, that's more of a showstopper--I'm afraid
we have no facility to interpolate between a set of irregular points...
Luigi
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