Re: Projecting Forward Volatility Surfaces

Posted by Joseph Wang-2 on
URL: http://quantlib.414.s1.nabble.com/Projecting-Forward-Volatility-Surfaces-tp9727p9729.html

One way of doing this is the Carr-Mandan technique.  If you have a set of
liquid vanilla european option prices at a particular time, you can use a
damped Fast Fourier Transform to get the volatility surface for a particular
time and a given set of parameter values.  You then minimize least squares
over the parameter values.

The problem is that this only works if you have a set of liquid European
option.  The major piece of infrastructure that isn't in QuantLib is the
ability to do fast fourier transforms plus maybe some C++ data structures to
handle the data.

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Joseph Wang Ph.D. - [hidden email]  
China Derivatives Researcher and Software Developer
http://en.wikiversity.org/wiki/User:Roadrunner





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