Re: FX Vol Term Structure

Posted by Bojan Nikolic on
URL: http://quantlib.414.s1.nabble.com/FX-Vol-Term-Structure-tp9047p9048.html


"[hidden email]" <[hidden email]> writes:

> My input data are:
> a list of tenors (e.g. 1W, 1M, 3M....)
> a matrix of strikes a matrix of implied volatilities.
>
> is there any possibility to build such a type of volatility surface to create
> a forex vol term structure?

See the class BlackVarianceSurface
(ql/termstructures/volatility/equityfx/blackvariancesurface.hpp)

Best,
Bojan

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk/ql

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